.png)
FX Advanced Vanilla Options
Overview
This FX Options course offers an in-depth study of foreign exchange options, focusing on foundational concepts, practical applications, and advanced modelling techniques. It covers key aspects of FX options such as definitions, ISDA standards, option pricing, hedging strategies (delta, vega, gamma-theta), and market risk management.
Participants explore FX market data and volatility smile construction, examining ATM, risk reversals, and butterflies, along with the use of SVI, SABR, and spline interpolations to create accurate, arbitrage-free smile surfaces. Practical case studies provide insights into valuation, trading platforms, and common market data traps.
In practical applications, the course addresses corporate treasury needs, digital options, risk reversal strategies, and structured products for wealth management, such as performance-linked investments and dual currency investments, equipping participants with comprehensive tools for FX options trading and product structuring.
Learning Objectives
Understand FX Options Fundamentals
Analyze FX Market Data and Volatility Smile
Master the Greeks and Their Applications
Apply Interpolation and Extrapolation Techniques for Smile Surface
Examine Advanced Smile Construction Techniques
Design Risk Management Solutions for Corporate Treasury
Utilise Smile Surfaces for Trading and Exotic Options
Structure Wealth Management Products Using FX Options
Who the course is for
Traders: To deepen the technical background
Risk Managers: To understand the front-office way of thinking
Structurers: To learn more about pricing and models
Sales People: To get the overview of product development and smile adjustments
Quants/ Financial Engineers: To learn how the products are used
Researchers: To understand the practical matters
This course is for anyone new to Derivatives and for those who need to bring their knowledge up to date and learn how the overall FX options and structured products market works. However, this is not a basic course on options and understanding of the FX vanilla options market and FX smile is essential to understanding exotics.
