Banking Professional Market Risk

Currency Derivatives - Exchange Traded

This course focuses on Currency Derivatives. We cover product features, pricing, and risk management relating to Currency Futures and Options.

Overview of Currency Derivatives - Exchange Traded

This course focuses on Currency Derivatives. We cover product features, pricing, and risk management relating to Currency Futures and Options.

Table of contents

Course Outline

ChapterTopics
Derivatives - An IntroductionAn overview of derivatives with examples.

Need for derivatives: How derivatives help alter risk and reduce transaction cost,and increase the debt capacity of the firm.

Currency FuturesDefinition of Currency Futures and how they work.

Features: Differentiation between Futures and Forward Contract basis - 'Live Quotes','Liquidity', etc. It includes 'Futures Margin' and 'Futures Settlement'.

An Introduction to OptionsAn overview of Options - Important features.Options Terminology: Terminology using which, options are traded, such as - 'Underlying','Strike Price','Premium','Intrinsic Value', etc.Types of Options: 'Put' and 'Call'.Usage and Application of Options: A detailed illustration of options, using 'Pay-Off' profiles.

How Can We Use Options? Understand how options can be used as a hedging instrument. Speculations using options. How corporates use currency options as price insurance.

Option Strategies

Types of Option Strategies: A detailed discussion along with illustrated Pay-Off diagrams for 'Call Spread','Put Spread','Long Straddle','Short Straddle','Risk Reversal', etc.

Options Pricing - Vanilla ProductsIntroduction: Understand Options Pricing.Determinants of Options Value: Spot Price relative to the Strike Price.

Pricing Model: 'Black Scholes Model' used to price options and strategies such as'Call Spread','Put Spread','Risk Reversal'.

Hedging, Operations and Risk ManagementOptions Greeks: Delta, Gamma, and their use.Options - Operations: Operational aspect of an option deal, such as - Trading Process, Clearing and Settlement Process etc.Open Interest: What is Open Interest and what does it indicate?

Clearing and Settlement: Role of Clearing House, Margin imposed and SEBI Guidelines on Clearing and Settlement.

About faculty of Currency Derivatives - Exchange Traded

H Jaishankar
Jai joined ANZ Grindlays from campus, and moved on to Citibank, and then to Deutsche Bank, as head of Foreign Exchange & short term Derivatives trading for India.

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