follow us on LinkedIn
Uploaded DBK, AAPL pics of volsurface fits today. Aggregated fitting pics in their own folder.
"Trading realised variance using listed vanillas" recently published - see more and download here
Read all news »

Practical Running of Exotic Options

Course level: Advanced
Delivery method: Classroom
Duration: 2 days, customisable to 1
Schedule: Contact us


This course covers the modern, practical approaches to running portfolios of single-underlying exotic options, e.g. as in a bank issuing structured products and dealing in the OTC exotic broker markets, or a hedge fund or family office involved in similar trading.

What will you learn? 

  • Practical suggestions for running and hedging of exotic option portfolios
  • Discussion of the main concerns, e.g.
    •  exotic theta (bleed slowly or blow up?)
    • skew/smile risk vs. vanna/volga, cross-convexities
    • gap risk
    • feedback loops
    • etc
  • Case studies on main products/components
    • barriers
    • varswaps & co
    • forward starting, cliquets & co
    • the elephant in the room: autocallables

Who is this course for?

This course is designed for derivatives professionals such as:

  • Derivatives traders, both sell-side and prop
  • Risk managers
  • Auditors and product controllers
  • Junior quant analysts

What are the pre-requisites?

Delegates should have advance knowledge of vanilla option trading, working knowledge of derivative markets, and be confortable with calculus and statistics to undergraduate level.

What next?

Private in-house: please contact us to discuss details.

info@eqfltd.com | +44 (020) 3793 5146 | Sitemap  |  Terms & Conditions  |  Privacy Policy