introduction to vanilla fx options · 2016-04-29 · • junior traders on fx options desks ... an...
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AlbionGreenFinancialEducation
ProgramLeaderAndyMayerhasover14yearsexperienceasanFXoptionstraderandmanageroftradingteamsintheinvestmentbankingindustry.HebeganhiscareerinLondonwithNatWestGlobalFinancialMarkets,andworkedforCreditAgricoleandMorganStanleybeforemovingtoAsiain2010.HismostrecentbankingrolewasrunningtheAsiaFXderivativesdepartmentatCIBCHongKong.AndyhasaBScfromtheUniversityofDurham,EnglandandanMScinmathematicalmodellingfromEdinburghUniversity,Scotland.HeholdsadiplomaintechnicalanalysisfromtheSocietyofTechnicalAnalysts.
AnIntroductiontoVanillaFXOptions
IntroductionForeignExchange(FX)optionsarewidelytraded,butnotwidelyunderstood.Inthiscoursewestartattheverybeginningandcoverthebasicsquicklybeforemovingontolookatmoreinvolvedconceptsthateveryvanillaoptionstraderneedstoknowbeforedoinghis/herfirsttrade.
Whothecourseisfor?• GraduateTrainees• JuniortradersonFXoptionsdesks• InvestmentBanksalespeoplewhowanttoup-
skillthemselves• Centralbankreservemanagers• BankandHedgeFundmacrotraderswhocome
fromanon-optionsbackground• Riskdepartmentprofessionalsinanyfinancial
institution
LearningoutcomeUponcompletionofthecourse,studentswillhaveasolidunderstandingofFXvanillaoptionsandhowtotradethem.
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AnIntroductiontoVanillaFXOptions
CoursecontentDay1• Whatisanoption?• Put-callparity• Quotingconventions• TheBlack-Scholesmodel• Historicalandimpliedvolatility• Themaingreeks
Day2• Whousesoptions?• Spot-directionalstrategies• Deltahedging• Rhohedging• Gammatradinganddynamichedging• Theta• Volatilitytrading
Day3• EuropeanandAmericanexpiry• Thevolatilitysmile• Volatilityofvolatility• Tradingbutterflies• Volgaandsega• Thevolatilitysmirk• Spot-volcorrelation• Tradingriskreversals• Vannaandrega• Exoticoptions–abriefoverview
LearningTechniquesParticipantswillbetaughtonemodulepersessionandtheirknowledgewillbetestedregularlyduringthecoursetotrackprogress.
LanguageEnglish
NumberofparticipantsUpto15
DurationThreefulldays,or12eveningsessionsofoneandahalfhourseach.
Contact:
AlbionGreen
SuiteG,9/F,Tower3,Queen’sTerrace,1Queenstreet
SheungWan,HongKong