FX Derivatives


We study the Foreign Exchange Derivatives market. Quotation conventions for the vanilla market are covered, Exotics pricing using Vanna Volga model. Pricing One Touches and Barrier Options is explained.

1. Quoting Conventions in the Foreign Exchange Market

Quoting options by Delta instead of Strike, Premium included Delta, Forward Delta.
Risk Reversals and Market Strangles. Normal quotes

2. Constructing the Volatility Smile: 25 Delta, 10 Delta and ATM points.

3. Barrier Options and Vanna Volga pricing.

4. Local Volatility/Stochastic Volatility pricing of Barrier Options

If you are interested in the above course please contact admin@quanttraining.com

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