EXOTIC DERIVATIVES
PROGRAM OUTLINE
A look at ‘non-standard’ options (barriers, knock-ins and knock-outs, Asians, loopbacks, etc) and who uses them and why; including a brief look at how they are valued vs plain vanilla options.
PRE-REQUISTES
Advanced understanding of standard options; their graphical representations, their risk measures and how they are valued. The earlier classes in this syllabus would provide that knowledge.
CONTENT
Path independent
• Binary/digital bet options
• Replication
• Range payouts
Path dependent
• One-touch options
• Asian options
• Barrier options
Multi-asset
• Baskets
• Quanto
• Worst-of
COURSE DURATION
1 Day
WHO SHOULD TAKE THIS COURSE?
Students who are already comfortable with standard options and the language including understanding uses of ‘Greek’ risk measures
MODULES
These courses are included in this module
OPTION PRICING 2
Students will understand how to use a binomial risk-neutral option valuation model This will lead directly to the Cox-Ross-Rubenstein version. Students will then be able to use this model to initially call European options, but will quickly be able to move on to using this model to call American options and many exotic options. Students will understand the principles and assumptions underlying Black-Scholes, and will master the pricing formula.
LEARN MORESTRUCTURED PRODUCTS ADVANCED
Understand why investors may choose to buy various types of structured products. Understand how a bank provides products with structured payoffs.
LEARN MOREINTEREST RATES SWAPS AND SWAPTIONS
Understand items on swap term sheets. Learn what drives value of a swap as the rates market moves. How to use swaps to hedge cashflow, risk or mark-to-market risk. Then look at the swaptions markets as a direct extension of what has already has been done.
LEARN MORECREDIT DERIVATIVES
To understand the basic products and the drivers of value in the credit world.
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