FINANCIAL MARKET COURSES
Japanese Equity Market
Receivable Finance (New)
Lending - An Introduction
The Lending Cycle
Commodities - An Introduction (Revised)
Commodities - Trading (New)
Commodities - Livestock (New)
Commodities - Softs (New)
Primer – MiFID II/MiFIR (New)
Understanding Private Wealth Management Business
Private Wealth Management Products & Services
Primer – Smart Beta (New)
Available on iPad and Android tablets as well as desktop
Options - Basket Options - Evaluation & Evolution
There has been enormous growth in the use of various forms of basket options since their initial introduction. This course examines some of the key variants and shows how these have become attractive to investors, particularly in the retail equity area. Although the products are often easy to understand in terms of payoffs, they raise particular issues around structuring, pricing, and hedging, especially as regards the role of correlation. This course outlines the issues and the key responses to the challenges.
On completion of this course, you will be able to:
• Describe some of the many variants of basket options, and identify their attractiveness in different situations
• Explain how complex options have been embedded in structured notes
• Identify the key pricing challenges faced by structurers and traders of multi-asset options, and in particular explain the role of correlation
• Outline the differing and evolving algorithmic and analytic pricing approaches that are used to price basket options
Topic 1: Diversity of Instruments
• Buying the Market?
o Asian Options
o Ratchet (Cliquet) Options
o Hindsight / Lookback Options
• Buying or Selling Volatility?
• Buying or Selling Correlation?
• Some Variations of Basket Options
Topic 2: Creating Structured Notes
• Creating a Structured Note
• Option plus Zero- Coupon Structure
• Constant Proportion Portfolio Insurance (CPPI)
• A Growing Market
Topic 3: Pricing Approaches
• Dealing with Correlation
• Hedging Issues
• Pricing Procedures
o Lattice Methods
o Monte Carlo Simulation
• Which Procedure to use?
Topic 4: Pricing Considerations
• Multi- Dimensionality
• Correlation Problems
• Alternatives to Correlation?
• Multi-Asset Distributions
Options – Basket & Spread Options – An Introduction - View Now
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Options - Basket & Spread Options - An Introduction
This course looks at basket and spread options in detail, examining their features and characteristics, as well as the different types available in the market.
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