Options: The Fundamentals

• Definition, conventions and terminology
  
  • price
  • quote
  • settlement
• Puts and calls and what they mean
• American, European and Bermudian options
• Intrinsic and time value

Basic Option Strategies with a Focus on Currency Options

• Call and put spreads
• Collars
• Calendar spreads
• Straddles and strangles
• Box spreads
• Other applicable strategies
• Put and call parity
• Understanding currency options

Risk Management – Understanding the Greeks and their Interaction

• Delta
• Gamma
• Decay
• Vega
• Rho
• Delta hedging
• Trading a book and seeking Gamma

Votality

• Volatility concept and impact on pricing
• Term structure
• Smile (straddles, risk reversals and butterflies)
• Forward volatility
• Historical – Implied - Actual
• Hedging and trading an options book
• Volatility surfaces
• Other mark to market issues

Interest Rate Options

• Caps
• Floors
• Collars
• Swaptions
• Bond options

Option Pricing Tools

• Basic probability
• Normal distributions
• Lognormal distributions
• Mean variance analysis of asset returns
• Understanding the Black-Scholes equation
• Problems with Black-Scholes
• Kurtosis

More Complex Options

• Digitals: European options
• Accrual options
• Asian options
  
  • average rate
  • average strike
  • one touch no touch
  • single and double
• Barrier options:
  
  • European and American
  • single and double
  • knock-in and knock-out
• Discrete and window options
• Binary options
• Basket options

Exotic Options and their Pricing Features

• Basket options
• Quanto options
• Pricing using Binomial trees

Structuring Bonds and MTNs Using Options

• Equity linked transactions
• Convertibles
• FX linked notes
• Credit Linked Notes (CLNs) with an option element