DAY | TIME | TOPIC |
|
Day 1 | 8:30 | Introduction Overview of Workshop | |
| 9:00 | Cash, Futures, Swaps and Options--The Linkages | |
| 10:00 | Coffee Break | |
| 10:30 | Cash, Futures, Swaps and Options--The Linkages (continued) | |
| 12:15 | Lunch | |
| 1:15 | Option Pricing--An Intuitive Approach
Exercise: How to Read Options Quotations | |
| 2:45 | Coffee Break | |
| 3:15 | Option Pricing--The Black Scholes
Model Without Greek
Exercise: Playing With The Model on a PC | |
| 5:00 | Adjourn
| |
Day 2 | 8:30 | Introduction to Option Trading--Risk,
Volatility and Delta Hedging
Walking Through The Fog Game | |
|
| EuroFog Trading Game (Play in pairs) | |
| 11:30 | Discussion of Trading Results | |
| 12:15 | Lunch | |
| 1:15 | Deeper Into The Fog: Trading Volatility | |
| 2:45 | Break | |
| 3:15 | Discussion of Trading Results | |
|
| Individual Eurofog Trading Strategies | |
| Evening | Individual preparation of case, Le
Chapeau Flotante
| |
Day 3 | 8:30 | Options Technology: Ceilings, Floors,
and Collars
Exercise: Rhone-Poulenc, and how to read cap quotations | |
| 9:30 | Options Technology: Swaptions | |
| 10:00 | Coffee Break | |
| 10:15 | Swaptions (continued)
Exercise: A Swaptions Mini-Case, and how to interpret swaption quotations
| |
| 11:00 | Participative Case: Canadian Confectionaries Company | |
| 12:00 | Lunch | |
| 1:00 | Canadian Confectionaries Company continued | |
| 2:15 | Using Option Technology in Debt Issues
Case: Le Chapeau Flotante | |
| 3:00 | Coffee Break | |
| 3:15 | Interest Rate Options Products at Royal Bank | |
| 4:15 | Seminar Wrap-up by Ian Giddy |