Leonard N. Stern School of Business

ROYAL BANK OF CANADA
Interest Rate Options Workshop

Presented by Professor Ian H. Giddy, New York University


DAY

TIME

TOPIC

Wednesday

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

 

Thursday

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

 

Friday

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

Presentation on Options Products at Royal Bank by representative from Treasury

 

4:15

Seminar Wrap-up by Ian Giddy


More about



Go to Giddy's Web Portal Contact Ian Giddy at ian.giddy@nyu.edu