Risk Latte - FX Options Pricing Using Local and Stochastic Volatility

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 - 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 - 12:30 pm)

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

To apply for the above course please write to info@risklatte.com . You can also write to us at Risk Latte Company , Level 2, Neich Tower, No.128, Gloucester Road, Wan Chi, Hong Kong or you can call us on +852 3987 8552 or +852 6395 8032.

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

Any comments and queries can be sent through our web-based form.

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