Course Summary

This one-day, non-technical workshop provides delegates with detailed working knowledge of the application and pricing of innovative risk management tools. The terms 'Exotic' and 'Advanced' are reduced to a common denominator such that the material is easy for delegates to comprehend. This is accomplished through comparisons with 'plain vanilla' and other commonly used option spreads both in terms of pricing and payout. In addition, the course examines how dealers hedge their exposure in exotic options, valuation anomalies, delta hedge ratios of 1000% or higher and potential dealer manipulation issues. Finally, a case study is used to facilitate a better understanding and the proper use of these sometimes bewildering instruments.

8 CPE credits awarded for this course.

Delivery Method: Group-Live

Who Should Attend?

Class delegates include everyone from trade support staff all the way up to senior management - anyone who is interested in the pricing and hedging of 'exotic' over-the-counter options.

Prerequisites

Princeton Energy Programme’s Options I - Fundamentals of Energy Options, Energy Risk Management or equivalent experience.

Pre-classroom Study

As part of our blended learning package, this workshop has a specific web-based course which is recommended as pre-classroom study. Upon registering for the workshop delegates will receive details of how to access the web-based course. Access to the web-based course is included in the price of the classroom course. To optimize your classroom experience, it is recommended you take the appropriate online study as close to the classroom date as possible. The recommended pre-classroom study for this workshop is PrincetonLive.com's Tracking Correlation Risk.

Not sure if you have the appropriate experience? Click here to test yourself on futures and options knowledge necessary for this course.

Course Contents

• The history of exotic options and why they are gaining popularity in the energy market
• Hedging with 'Swaptions'
• Contingency planning with 'Compound Options'
• Hedging with 'Average Price' options
• Hedging with 'Look Back' options
• Hedging with 'Digital' options
• Hedging with 'Step Structure Digital' options
• Hedging with 'Contingent Premium' aka 'Pay Later' options
• Hedging with modified strike (high and low) digital 'Contingent Premium' options
• Hedging with 'Barrier' options
• Hedging with 'Double Barrier' options
• Hedging with 'Swing' options
• Combining various exotic options to create 'new' hedging structures
• OTC pricing models - analytic models, numerical models, and Monte Carlo Simulation models discussed