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The course is designed for senior foreign exchange and money market dealers, corporate and bank treasurers as well as senior operations staff or any financial markets professional who need to get a profound understanding of Advanced Derivatives.
Participants will learn how to deal with advanced derivatives across asset classes in terms of pricing, hedging, risk management and documentation. They will recognize products, trading strategies, develop an understanding how to decompose complex structures into simple building blocks, and know when such decomposition is not possible. Participants will know the relevance of pricing models, how they are used and what their limitations are. Key to dealing advanced derivatives is evaluating the volatility smile surface and classifying different sources of risk. Additionally, participants will learn which market data is relevant for pricing a pre-specified transaction.
Lecture, discussion, individual and group exercises, case studies
Volatility Surfaces & Smile Construction
First Generation Exotics: Products, Pricing & Hedging
Most Relevant Models in Derivative Valuation
Single Underlying Derivatives Beyond First Generation Exotic Options
Multi Asset Derivatives
Long Term Options & Hybrids