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FX Exotic Options
Overview
This course provides a focused exploration of FX derivatives and exotic options, emphasising their pricing, structuring, and risk management. Beginning with digital and touch contracts, participants will examine key pricing techniques, the role of skew, and semi-static hedging for one-touch options. The program also covers barrier options, their valuation under smile dynamics, and practical approaches to hedging knock-out and reverse knock-out contracts, reinforced through hands-on workshops.
Building on these foundations, the course delves into advanced exotics such as Parisian and double-barrier options, accumulators, and quanto products. Participants will explore vanna-volga and stochastic-local volatility models, gaining insights into their practical applications and limitations. Real-world case studies and workshops will deepen understanding of multi-currency products, second-order Greeks, and structured solutions like FX-linked swaps and PRDC bonds, preparing attendees to innovate and manage risk effectively in complex FX markets.
Learning Objectives
Master the pricing and hedging of digital and touch contracts, including their relationship with vanilla options and skew dynamics.
Develop expertise in barrier options, their valuation under smile-adjusted models, and strategies for hedging knock-out and reverse knock-out options.
Understand advanced exotic options and structured products, including Parisian, double-barrier, quanto products, and accumulators.
Explore pricing models like vanna-volga and stochastic-local volatility, assessing their implications for risk management.
Apply practical skills in risk management, focusing on second-order Greeks, correlation hedging, and real-world case studies.
Who the course is for
Traders
Risk Managers
Structurers
Sales People
Quants/ Financial Engineers
Researchers
