In-depth Option Pricing: Using the Option Greeks for Trading and Risk Adjustment

Euromoney Learning Solutions

Euromoney Learning Solutions

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Who should attend

  • Finance and Accounting staff
  • Corporate Risk managers
  • Traders
  • Brokers & Dealers
  • Fund Managers
  • Compliance
  • Sales Managers
  • Portfolio Managers
  • Audit

About the course

To know : Futures, options, puts, calls, Black scholes, pricing derivatives, probability theory, derivative trading. Solver add-in in Excel need to turn it on. Load the Solver Add-in in Excel - Office Support (microsoft.com)

Overview Derivative contracts can be very powerful risk management tools for market participants. Used improperly, they can subject a company to increased risk. This program is designed to provide a solid understanding of these products beginning with the simplest, forwards and futures and then continuing on to more complex option products. The area of options has seen unparalleled growth since the development of pricing models, starting with the Black-Scholes model in 1973. The uses and importance of options to the field of finance cannot be underestimated. This course is key to your understanding of the basic instruments of derivative marketplaces and their uses. Options and other derivative securities have a certain elegance, based on mathematical associations. This course is designed to provide coverage of necessary mathematical models in an intuitive fashion that motives understanding rather than memorization. Practical examples and exercises reinforce this approach.

*Objectives After this course participants will be able to: *

  • Construct basic option payoff profiles
  • Intuitively understand basic no-arbitrage pricing methods
  • Understand option price sensitivities
  • Understand the pricing, hedging, and other issues associated with derivative products

Agenda

Day One

Option Valuation

  • Option pricing models
    • Tree approaches
    • Discrete vs continuous models
    • BS
    • Pricing with simulations
  • Just enough math and no more
  • Black-Scholes Variants
  • No arbitrage framework
    • Garman Kolhagen
    • Merton’s model
    • Black 76 model
  • Volatility Smiles

Case Study and Exercises – Building your own option pricer in excel

Defining and using the Greeks – trading, pricing and risk sensitivities

  • Greeks – Majors
    • Closed form solutions to Greeks
    • Delta hedging
    • Understanding the Gamma-theta tradeoff
    • Vega – Volatility structure
    • Is Rho interesting at all?
    • Understanding distributional assumptions

Exercises: Calculating the Risk exposure of option portfolios

Exercise: Understanding the Gamma-Theta tradeoff

Day Two

More Advanced Trading with Options

  • More complex structures
    • Put spreads
    • Call spreads
    • Ratioed back spreads
    • Participating hedges
    • Exchange defined spread structures
  • Optionality in Contracts

Case Study: Marketing making in options

Exotic Options

  • A Multinational System
    • American & European
    • Asian
    • Bermuda
  • Other Exotics
    • Barrier
    • Compound
    • Binary
    • Rainbow
    • Lookbacks

Case Study: Designing your own structured option product as a risk solution.

Experts

Atul Ahaja

Atul has worked as a senior project financier with Australian, Japanese and French banks for over 15 years. He has core expertise in structuring debt and equity for infrastructure projects (toll roads, airports, rail, pipelines), public private partnerships (schools, convention centres, hospitals...

Videos and materials

In-depth Option Pricing: Using the Option Greeks for Trading and Risk Adjustment at Euromoney Learning Solutions

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Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

Read more about Marketing

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