Risk Latte Company is holding a two day FX Options Pricing Using Local and Stochastic Volatility in Hong Kong.

FX Options Pricing Using Local and Stochastic Volatility

• Objective:
  • A two (2) day training programme for FX options traders/structurers/sales professionals to provide an overview of volatility modeling techniques, with special reference to local volatility and volatility surface and its use in pricing exotic FX options.
• Methodology:
• The training will be carried out in a focus group environment with discussions and problem solving methodology and shall be entirely focused on model building in Excel/VBA spreadsheet environment.

Curriculum:

Day 1 : Morning Session (9:30 am to 12:30 pm)

• Estimation of Historical Volatility and Correlation from price time series and lognormal estimate of return;
• Different measures of historical volatility: EWMA, Garch, Parkinson's Number, etc. Geometric implementation of FX volatilities and correlations;
• Black-Scholes-Merton closed form solution and Garman-Kohlhagen formula for vanilla FX options;
• Implied Volatility estimation from closed form solutions- user defined function in Excel/VBA for implied volatility using option prices;
• Barrier options and bet options case: non-linear volatility and its impact.
• Bet options-pricing with volatility skew, modifications to BSM;

Day 1 : Afternoon Session (2:30 pm to 5:30 pm)

• Put-call parity and put-call option symmetry for exotic option hedging;
• Smile-strike-vol skew-in FX options market;
• Smile-strike-vol skew-in equity options market;
• Estimating forward volatility (forward-forward vol) and volatility term structure;
• Adjusting implied volatility for jumps in the FX market;
• Adjusting vega of the options for volatility surface (multifactor & modified vega);
• Bucketing and Topography;

Day 2 : Morning Session (9:30 am to 12:30 pm)

• Empirical and market facts about smile;
• Derman-Dupire-Kani surface and constructing a DDK vol surface;

                 9/F Somptueux Central | 52 - 54 Wellington Street | Central | Hong Kong
                 Phone: +852 3752 0619             Fax: +852 3752 0662
                 Email: team@risklatte.com         Web: www.risklatte.com

All Candidates will be awarded a Certificate of Participation by Risk Latte Company.

For Registration and Enquiries please
fill out our Web-based form or Call the Risk Latte Team on +852 3752 0619