This course focuses on Currency Derivatives. We cover product features, pricing, and risk management relating to Currency Futures and Options.
|Derivatives - An Introduction||An 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 Futures||Definition 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 Options||An 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.
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 Products||Introduction: 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 Management||Options 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.
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.