Mastering Exotic Options and Structured Products Asia 2011
Novotel Singapore Clarke Quay,
26 - 29 September 2011
About Our Premier Course
As markets develop, constant innovation evolves new products, pricing, hedging and risk management techniques. Tailored for the discerning finance professionals, this master class will allow participants to capitalise on the latest advanced hedging and pricing strategies for exotic options and structured products to stay ahead in the highly competitive and dynamic market.
With a practitioner-focused pedagogy, the practical knowledge imparted will empower participants with advanced real-world hedging and pricing strategies, not just simply theory. The level of analysis will be in-depth and will imbue confidence in participants to apply the cutting-edge methods learned.
All major asset classes will be duly covered and participants will get maximum hands-on experience as thorough computer work is involved to enhance the learning experience.
*Participants are to bring their own laptops with Excel installed.
Practical Computer-work and Software Tools Provided
Computer work will be done on Excel spreadsheets. Data from the Asian markets will be considered and we will develop a valuation tool based on a modified boot-strapping and the mixed unconditional disturbances approach developed by Dr. Tompkins.
With this tool, we will evaluate how exotic options would have paid off in the past. In addition, a hedging program will be provided that will examine the costs of both dynamic and static hedging of exotic options. This program is written in Visual Basic and runs in Excel.
Participants will return to work with new tools to value, hedge and manage the risk of exotic options
What you are going to learn
Led by an extremely experienced market practitioner and academic, the emphasis will be on replication and particularly static replication with normal options. Participants will learn which exotics can be hedged dynamically and which cannot.
A new approach to valuation will be used in the master class. Using a modified boot-strapping approach, participants will discover the true value of these products instead of the theoretical values. Most importantly, participants will learn how to hedge these products and how to avoid inappropriate strategies.
- Learn how to efficiently price and hedge exotic options through the latest practical techniques
- Get the market view you can’t get from a textbook
- Apply cutting-edge methods for enhanced hedging and master advanced option pricing
- Understand the use of barrier options and the cost of hedging with alternative skew patterns
- Gain crucial insight into exotic structured products
- Explore instruments and techniques for hedging forward volatility Risks
Section 1
VALUATION OF EXOTIC OPTIONS
A Review of the Black / Scholes Insight
PROBLEMS WITH BLACK AND SCHOLES
- Does Dynamic Hedging of Options work?
- Continuous vs. Discrete Hedging
- Stochastic Volatility
- Transaction Costs
Implied Volatility Surfaces for European Options
- Smiles and Skews for FX and Interest Rate Options
TERM STRUCTURE OF IMPLIED VOLATILITIES
- Trying to adjust Black Scholes for IV Surfaces
Bounds on Exotic Option Values by Static Hedging
- Defining Static Hedging
- Bounds on European Options from Butterfly spreads
Section 2
SIMPLE EXOTIC OPTIONS – Part 1
COMPOUND AND INSTALLMENT OPTIONS
- Options, which allow the holder to buy or sell another option
- Pricing Compound options
- Applications and hedging of Compound options
EXTENDIBLE OPTIONS
- Options, which allow the holder to buy or sell another option
- Holder Extendible Calls and Puts
- Writer Extendible Calls and Puts
BERMUDAN OPTIONS
- Between American and European Options
- Applications of Bermudan options for Bonds
- Pricing and hedging of Bermudan options
DIGITAL/BINARY OPTIONS
- Cash or nothing options, Asset or nothing options
- Pricing of Digital/Binary options
- Super shares as combination of other binary options
- Applications and hedging of Digital/Binary options
PAY LATER OPTIONS
- Options whose premium is paid only if Option finishes in-the-money
- Applications of Pay later options for Hedgers
- Pricing of Pay later options as Combination of Digital & Normal Options
Section 3
SIMPLE EXOTIC OPTIONS – Part 2
DELAYED OPTIONS
- Forward Starting Options struck at-the-money at some Future Date
- Pricing of the Delayed option as the Present Value of a Normal Option
- Hedging the Delayed Options with Normal Options
- Importance of Forward/Forward Volatility
CHOOSER OPTIONS
- Ability to Choose either a Call or Put in the Future
- Pricing of Chooser Options
- Equivalent portfolio strategy
- Adaptation of standard Black/Scholes
POWER OPTIONS
- Payoff to Holder is the Underlying Price raised to a Power
- Comparison to Multiple Holdings of Normal Options
- Using Power options to hedge Forward/Forward Volatility
SOFT STRIKE OPTIONS
- Payoff with a Rounded Payoff at Expiration
- Reduction of Gamma Problem for Sellers
- Quadratic Smoothing of a Normal Option
- Pricing of Soft Strike Options
- Replication of Strategy with Standard Options
Section 4
AVERAGING EXOTIC OPTIONS
ASIAN (AVERAGE RATE) OPTIONS
- Applications of Average Rate options
- Arithmetic vs. Geometric Averages
- The Levy & Turnbull solution
- Hedging Asian options with normal options
AVERAGE STRIKE PRICE OPTIONS
- Applications of Average Strike options
- Pricing of Average Strike options
HAWAIIAN OPTIONS
- Combination of American and Asian Options
- Fixed Strike Calls and Puts
- Floating Strike Call and Puts
- Optimal exercise policies and Bounds on Valuation
Section 5
SIMPLE BARRIER OPTIONS
- What they are and how they work
- Down and Out Calls & Down and In Calls
- Up and Out Puts & Up and In Puts
- Hedging Barrier Options
- Dynamic Hedging Examples
- Static Hedging Examples
- Problems with Skews
- Costs of Hedging with Alternative Skew Patterns
- Modelling Smile Surface Evolution
- Binary Barrier Options
- American Binary Options – The One Touch
- Rebates for Standard Barrier Options
Section 6
EXOTIC STRUCTURED PRODUCTS
CLIQUET OR RATCHET OPTIONS
- What are Ratchet options?
- Locking in Profits at Fixed Points in Time
- Pricing and hedging of Ratchet options
COUPE OPTIONS
- Resetting the strike to the worse of spot or initial strike
- Pricing from the Binomial Tree.
FORWARD STARTING CLIQUET OPTIONS
- Combinations of Compound and Cliquet Options
- Inverse Volatility Sensitivity of Forward Start Cliquets
- Example of Pricing and Hedging
SHOUT OPTIONS
- Pricing and hedging of Shout options
- Difference between Immediate Payout & Reset Strike
- Optimal versus Non-optimal Exercise
LADDER OPTIONS
- Ladder options Defined
- Locking in Profits at Certain Price Levels
- Pricing and hedging of Ladder options
MAXIMUM/MINIMUM OPTIONS – THE LOOK BACK
- How “Look Back” options offer the Best Price in the Period
- Applications and hedging with Look Back options
- Pricing of Look Back Options
Section 7
OPTIONS ON MULTIPLE UNDERLYINGS
EXCHANGE OPTIONS
- Options which Allow one to Exchange one Asset for Another
- Pricing using the Margrabe Adjusted Black Scholes Model
RAINBOW OPTIONS
- Best of n Assets plus Cash
- Better/Worse of n Assets
- Maximum/Minimum of n Assets
SPREAD OPTIONS
- Options on the Spread between Two or More Asset Prices
- Impacts of Correlations between Assets
- Problems with Multiple Factor Models
BASKET OPTIONS
- Multi-index products
- Pricing of Basket Options
- Hedging Basket options
- Replication of synthetic basket options
- Evaluation of protection required
Section 8
CURRENCY TRANSLATED OPTIONS
Quanto Options
- Combination of Currency & Equity Options
- Foreign equity options struck in domestic currency
- Pricing of Quantos
- Construction of a hedged portfolio
For full agenda, please email us your detail contact information to enquiry@neo-edge.com. Please indicate subject title “Mastering Exotic Options & Structured Products Asia 2011″.
About Your Expert Trainer
Dr. Robert G. Tompkins,
World Wide Expert in Volatility Analysis and Exotic Options Hedging with 30 years of experience in financial market derivatives
Founding Managing Director, Minerva Group
Honorary Professorship, University of Warwick Business School
Professor of Quantitative Finance, Frankfurt School of Finance and Management
Adjunct Professor, Rotterdam School of Management
Dr. Tompkins has thirty years experience in financial market derivatives. This includes the design and launch of the first exchange traded financial options in the early 1980s at the Chicago Mercantile Exchange. He traded these products attwo major Chicago banks, sold derivatives and developed new products at Merrill Lynch, London, established a successful international consultancy firm serving over 300 financial institutions in 28 countries, created investment funds and structured products using derivative products, and finally has published significant theoretical research on these markets.
Significant contributions include analysis of implied volatility smiles for options on financial markets, Stochastic volatility models, pricing and hedging of exotic options, venture capital, model-free derivative pricing and risk evaluation, analysis of stock market anomalies and the use of derivatives in fund management.
He is currently a Professor of Quantitative Finance at the Frankfurt School of Finance and Management. He is also an Adjunct Professor at the Rotterdam School of Management and holds an Honorary Professorship at the University of Warwick Business School.
Prior to entering academia in 1998, Dr. Tompkins worked for 18 years in fund management, investment banking, derivatives trading and established a successful international training and consultancy firm, the Minerva Group. Areas of consultancy included fund management, derivatives trading and risk management systems, regulatory issues, customised training and new product development.
Dr. Tompkins was formerly the Head of International Quantitative Research at Kleinwort Benson Investment Management. Prior to this, he was the Futures and Options Specialist at Merrill Lynch, Europe and an Interest Rate Options Dealer and Currency Options Trader at two major Chicago banks. He has three degrees from the University of Chicago, including an MA in Quantitative Methods and an MBA (honours).
In addition, he completed his Ph.D. in Finance at the University of Warwick in 1998 and his Habilitation in Financial Economics at the University of Technology, Vienna in 2000.
Dr. Tompkins has authored three books on Options and edited a book on exotic options. He has published widely in RISK Magazine, and a number of peer reviewed academic journals.
Who Should Attend
- Traders/Brokers
- Exotic Products Pricing / Strategy / Development
- Structured Products
- Quantitative Analysts & Strategists
- Risk Managers & Risk Analysts
- Sales
- Portfolio Managers
- Financial Engineers
- Derivative Products
- Research & Development
- Officers from Derivative Exchanges,
- Investors,
- Treasurers,
- Regulators,
- Advisors,
- Software engineers
- And anyone responsible for the options and structured product function.
Practitioner focused!
Real-world effective hedging instead of simply theory!
Apply cutting-edge methods for enhanced hedging and master advanced option pricing!
Efficiently price and hedge exotic options!
Capitalise on the latest practical techniques!
Discover the true value of these products instead of the theoretical values using a modified boot-strapping approach.
Crucial insights into exotic structured products!
Practical Computer-work and Software Tools Provided
Computer work will be done on Excel spreadsheets. Data from the Asian markets will be considered and we will develop a valuation tool based on a modified boot-strapping and the mixed unconditional disturbances approach developed by Dr. Tompkins.
With this tool, we will evaluate how exotic options would have paid off in the past. In addition, a hedging program will be provided that will examine the costs of both dynamic and static hedging of exotic options.
This program is written in Visual Basic and runs in Excel. Participants will return to work with new tools to value, hedge and manage the risk of exotic options.
What you are going to learn
Led by an extremely experienced market practitioner and academic, the emphasis will be on replication and particularly static replication with normal options. Participants will learn which exotics can be hedged dynamically and which cannot.
A new approach to valuation will be used in the master class. Using a modified boot-strapping approach, participants will discover the true value of these products instead of the theoretical values. Most importantly, participants will learn how to hedge these products and how to avoid inappropriate strategies.
- Learn how to efficiently price and hedge exotic options through the latest practical techniques
- Get the market view you can’t get from a textbook
- Apply cutting-edge methods for enhanced hedging and master advanced option pricing
- Understand the use of barrier options and the cost of hedging with alternative skew patterns
- Gain crucial insight into exotic structured products
- Explore instruments and techniques for hedging forward volatility Risks
Companies that have participated in Neoedge’s Finance courses include
Bank Julius Baer & Co Ltd, BNP Paribas, ChinaTrust Commercial Bank, CIMB Bank, Commerzbank AG, Credit Agricole Suisse, Credit Industriel et Commercial, DBS, DZ Bank AG Singapore, KasikornBank Public Company Limited Thailand, OCBC, Skandlnaviska Enskilda Banken AB, Standard Chartered), State Bank of India, The Bank of Tokyo-Mitsubishi UFJ Ltd, UniCredit, Bank of Singapore, UOB, Bank BNI, BSI Bank, GFI Fenics, Siam Commercial Bank etc;
Course Format
The course will be held in a highly interactive workshop format with case studies and real world examples for a small class.
Pre-course Questionnaire
A pre-course questionnaire will be sent upon registration which allows you to raise your specific areas of interest. Jeff will review and analyze these in advance seeking to fully satisfy your learning needs.
Certificate of Attendance
Upon the successful completion of this course, you will receive a Certificate of Attendance bearing the signatures from both the Trainer and the Organizer. This Certificate will testify your endeavour and serve towards your professional advancement.
Color printing of charts in Course Material for your easy reading!
Delegate Fee
Please contact us at enquiry@neo-edge.com or customer service hotline at +65 6557 9166 for details.
Payment Terms
Payment must be made within 5 working days upon your registration in order to guarantee your seat. All payments must quote the delegate name and event code.
Payment can be made via the following ways:
Cheque
Made payable to NeoEdge Pte. Ltd.
Credit card
We accept Mastercard, Visa and American Express
Bank Transfer
Please refer to the Invoice for our Bank A/C detail.
All bank charges to be borne by payer. Please ensure that NeoEdge receives the full invoiced amount.
Unpaid registrations will be billed 40% of the registration fee if you do not attend the event. A complete set of the conference documentation in CD-Rom will be post to you.
Substitutions & Cancellations
Should you be unable to attend, you may substitute delegates at any time before the event at no extra charge. Alternatively, you may choose to credit the full value of your registration towards another NeoEdge event for up to 18 months from the date of issuance. No refunds will be available for cancellations.
Take the first-mover advantage!
Mastering Exotic Options & Structured Products Asia 2011 offers you the most effective platform to demonstrate your thought leadership and showcase your products and services at a significant gathering of industry leaders in the world that includes senior management and decision makers from both private and public sectors.
We will tailor packages to suit your exact marketing requirements helping to make sure that your company is front of mind during any decision-making process.
Please contact:
Thomas Ooi
Head of Business Development
Tel: +65 6557 9168
Main: +65 6557 9166
Fax: +65 6223 5186
Email: thomas.ooi@neo-edge.com
We partner with leading publications, online media and associations etc in relevant sectors to achieve win-win results. Our extensive marketing campaigns will ensure you impress the right players at the forefront of the latest industry advancements and expand your business territory.
To find out detail potential benefit, please contact us today at eugene@neo-edge.com or call us at Tel: +65 6557 9185.
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- TMI is the official magazine for the EACT (European Association of Corporate Treasurers)
- TMI Online & Digital: free registration / free articles / free digital edition (visit www.treasury-management.com)
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Tel: +44 118 947 8057
Technology Partners:
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This event will be held at Novotel Singapore Clarke Quay
177A River Valley Road, Singapore 179031
Contact: Julian Egli
Business Services Executive
General: (65) 63383333
DID: (65) 6433 8631
Fax: (65) 6338 4266
Email: H5993-SM9@accor.com
Please quote Mastering Exotic Options and Structured Products Asia 2011 to enjoy Corporate Rate.
Please enter the following information for each delegate. All fields marked with an asterisk are required. Upon receiving your submission, we will contact you within one working day to confirm your participation.
Event Name: Mastering Exotic Options and Structured Products Asia 2011
Venue: Singapore
Dates: 26-29 September 2011