Options IV - Exotic Options (OTC)
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.
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:
Delegates entering this course should already have successfully completed
Fundamentals of Energy Futures and
Energy Risk Management or have equivalent experience.
Not sure if you have the appropriate experience?
Click here to test
yourself on futures and options knowledge necessary for this course.
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:
Tracking Correlation Risk
What You Will Learn
- 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