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