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Who should attend
- Asset managers
- fund managers
- risk managers
- treasury analysts
- controllers and financial journalists.
About the course
Develop a comprehensive, practical understanding of options including market conventions, contract specifications, valuation, trading strategies and the regulation of markets.
This course is a component of the Derivatives Professional Certificate.
- Intermediate MS Excel skills (use solver, etc.)
- Basic probability
- Basic calculus
- Some knowledge of equity markets
- Knowledge of fixed income basics
MODULE 1: CONTRACT TERMS AND CONDITIONS
- Option Terminology
- Contract Terms, Payoff Profiles & Break-evens
MODULE 2: INPUTS INTO OPTION PRICING MODELS
- Asset price
- Strike price
- Time to expiration
- Interest rates
MODULE 3: MARKET PARTICIPANTS AND STRATEGIES
- Unlevered portfolio managers: Buy write, put write
- Speculators: Vertical spreads and earnings speculation
- Earnings announcements speculation
MODULE 1: OPTION PRICING
- Probability: essential concepts
- Normal and log-normal random variables
- Pricing models: Binomial and Black-Scholes-Merton
MODULE 2: RISK MANAGEMENT
- The Greeks: Delta, Gamma, Theta, Vega, Rho and Psi
MODULE 3: RISK ARBITRAGE TRADING STRATEGIES
- Calendar spreads
- Yield curve spreads
- Volatility trading
MODULE 4: HEDGE ACCOUNTING FOR SWAPS AND OPTIONS
- Time decay
- Hedge ineffectiveness
- Cash flow hedges using interest rate swaps
- Fair value hedges using options
WHAT YOU'LL LEARN
- Understand common trading strategies using options
- Develop a conceptual understanding of the Black-Scholes-Merton option valuation model
- Use option sensitivities (the Greeks) to determine the impact of changing model parameters on option prices
- Understand basic hedge accounting using options
Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.
We are happy to help you find a suitable online alternative.