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Exotic Options - Taxonomy, Barriers, and Baskets
Overview
This is a 1 Day Product course and as such is designed for participants who wish to improve the depth of their technical knowledge surrounding Exotic Options.
Learn in detail about Exotic Options – Taxonomy, Barriers, and Baskets
Learn about contract triggers, including European vs. American style, and variations like one-touch, no-touch, and double no-touch options.
Delve into the challenges of pricing digital options and managing their delta hedging and risk management issues.
Explore trading and hedging applications of barrier options across interest rate, FX, and equity markets.
Understand the structure and mechanics of Target Redemption Notes (TARNs), autocallables, accumulators, and faders.
Learning Objectives
Explore the classifications, applications, and building blocks of exotic options, including how they differ from plain vanilla options.
Analyze the unique payoff structures of digital options, including cash-or-nothing and one-touch variants, along with pricing, delta hedging, and risk management challenges.
Learn the mechanics, pricing, and hedging of knock-ins, knock-outs, and double-barrier structures, with practical applications across interest rate, FX, and equity markets.
Delve into target redemption notes (TARNs), autocallables, and accumulators, understanding their structure, use cases, and risk management considerations.
Study basket structures such as best-of, worst-of, and outperformance options, focusing on pricing methodologies, correlation impacts, and advanced strategies like the mountain-range family.
Who the course is for
Equity and Derivative sales
Equity and Derivative traders
Equity & Derivatives structurers
Quants
IT
Equity portfolio managers
Insurance Company investment managers
Risk managers
