- resources in finance


Interest Rate Options Workshop

Presented by Professor Ian H. Giddy, New York University


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


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 | | | | contact
Copyright ©2005 Ian Giddy. All rights reserved