This unit introduces you to the most important and popular types of exotic options. Average rate options, used extensively in the commodity markets, and barrier options, the most popular exotic in the foreign exchange markets, are covered. Other exotics discussed include basket options and 'mountain' structured products; reset, shout, cliquet and similar options; cross-currency options and quantos. We cover product descriptions, motivations for using the product, risks involved in trading the product, efficient pricing methods in the Black-Scholes framework and hedging techniques. Pricing models that can account for the market volatility smile are also discussed. This unit complements... -- Course Website
Instructor: Ms Catriona March
Prerequisites: (Admission to MAppFin or PGCertAppFin) and (ECFS865 and ECFS867 and ECFS868 with SNG of 55 in all three units)
