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ROYAL BANK OF CANADA

Interest Rate Options Workshop

Presented by Professor Ian H. Giddy, New York University

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




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