FX Structured Products Seminar

This course is for anyone new to Derivatives and for those who need to bring their knowledge up to date and learn how the overall FX options and structured products market works. However, this is not a basic course on options and understanding of the FX vanilla options market and FX smile is essential to understanding structured products.

Who should attend?

• Traders: To deepen the technical background
• Risk Managers: To understand the front-office way of thinking
• Structurers: To learn more about pricing and models
• Sales People: To get the overview of product development and smile adjustments
• Quants/ Financial Engineers: To learn how the products are used
• Researchers: To understand the practical matters

Why this course?

Dr. Uwe Wystup, has been teaching this course for over 20 years and refines it constantly to the specific needs of the banking industry. Almost all known banks and software companies incl. ABN Amro, Bank of America MerrilLynch, Banca IMI, Bank of Thailand, Barclays, Bloomberg, BNP Paribas, BHF-Bank, Commerzbank, Danskebank, Deka Bank, Dresdner Kleinwort, DZ Bank, GPS Capital Markets, HSBC, ICICI Bank, ING, KBC Belgium, La CaixaSpain, LandesbankiIsland, Lippobank, Lloyds, Maybank, Morgan Stanley, Nordea, OCBC, Royal MerchandBank South Africa, RBS, Standard Chartered, SIAM Commercial Bank, Superderivatives, The Austrian Banking Regulation Association, UBS, Unicredit, Wachovia (USA), World Bank have sent regular participants to this course.
Dr. Wystup, and his team at MathFinance work on the current challenges of the financial industry in their projects on a daily basis. They belong to the few global hybrids working on bridging the gap between the derivatives market and academic research.

The Trainer Profile

Uwe Wystup is managing director of MathFinance AG, Professor of Financial Option Price Modeling and Foreign Exchange Derivatives at University of Antwerp and Honorary Professor of Quantitative Finance at Frankfurt School of Finance & Management, Public Expert on Currency and Interest Rate Management at the Chamber of Commerce and judge at the financial court and judge at the commercial court in Germany. Before, he has actively worked in FX derivatives trading as Financial Engineer, Global Structured Risk Manager and Advisor since 1992, including Citibank, UBS, Sal. Oppenheim and Commerzbank. He is a member of the FOREX board at Allied European Financial Markets Association. He is one of the few hybrids in the world working in the intersection of the derivates market and academic research. Uwe earned his PhD in mathematical finance from Carnegie Mellon University.

His first book Foreign Exchange Risk was published in 2002, quickly became the market standard and has also been translated into Mandarin. His second book FX and Structured Products appeared in 2006, its 2nd edition in 2017. Many of his papers appeared in scientific journals. Uwe writes the FX Column in Wilmott magazine.

Half Day Case Study: Currency Risk Management for Treasurers: what to sell and what to buy

• Identifying market scenarios: forward curve and volatility smile (AUD-JPY example)
• Buy low – sell high
• A deal for the AUD buyer
• A deal for the AUD seller
• Risk Reversals, knock-out forward, target forward
• Carry trade concept
• Zero cost concept
• Wha the probability density tells us
• Relevance of bid-offer spreads, sales margin and market skew
• Main take-aways and outlook

Selected Readings by Professor Uwe Wystup in Wilmott’s FX Column

• Click-and-Trade Structured Products for Wealth Management
• Worth a TRY? Zero-Cost, Zero-Risk, 20M USD up strategy in USDTRY
• Why ARE USD-JPY Risk Reversals Always Negative
• Lumberjack and the AUD-USD TARF during the Corona Pandemic
• TKO with DKOs
• Exotics Pedigree
• Slope Matters to Land on the Right Price
• OTC Currency Digital Contracts – Traded Price vs. Platform/Model Price
• Shorts Shouldn't Be Worn too Long
• Quick and Dirty: Short Cuts for Option Lovers
• Salzburg Financial Scandal
• How can a Long Call Option be Long Gamma, Long Theat and Short Theta
• Basis Madness
• Negatives Butterflies and why we check Butterfly arbitrage by a non-negative probability density
• Going Forward Step by Step
• Uncle Herbert’s Savings Plan with a Bonus and the Legal Aftermath
• Can Volga of a Long Vanilla Option be Negative?
• Private Banking Tricks - KOAMKIEU, Leverage and Settlement
• Before Takeoff: Model Validation Checklist
• Cable, Sterling, Loonies, and Nokkies
• What is a Currency Option?
• Mixed Local Volatility Model to Boost Distribution of Exotics
• Derivatives risk management and aviation
• Vanna-volga-and-the-Greeks
• Kiko Tarn revival in Asia
• Calendar Arbitrage in the FX volatility Surface
• Correlation 101
• Shedding Light on Common Misconceptions
• Reverse Knockout Pricing Case Study: Stochastic Local Volatility versus Vanna‐Volga
• Mustache to touch
• The sales margin transparency farce
• Exit Strategies for a Sick Floan
• FX Greeks
• How can a 50/50 bet have odds of 1:2 instead of 1:1?
• Derivatives Technology as a Matter of Survival
• What happened to currency fixings?
• Arbitrage in the Perfect Volatility Surface
• Can Vega of a Double-No-Touch be Positive?
• Structuring an Inverse Dual Currency Investment