A one day options pricing and
trading primer for market professional who have some limited experience in
the in sales and trading of derivative products. The focus is on
"necessary" options maths and particularly on options pricing so
as to provide candidates with tools to price and trade options after just
how to price
vanilla and some non-standard options, and to make pricing adjustment for
structures and pay-off profiles
derivation of the
“Greeks” instantaneous risk parameters
market convention sensitivity based position and portfolio risk management
with some limited experience (some understanding of markets/products
to Options and Option pay-off profiles:
discussion of vanilla calls/puts pay-off profiles and risks.
on different asset classes:
Review of option structures applied to markets such as IR
(caps/floors/swaption), CCY, Equity, Commodity
Pricing for the Real World (1):
Black-Scholes verses Event risk, liquidity considerations.
Pricing for the Real World (2):
Non standard structures, securitisations, embedded options
on the Options theme:
Convertible Bonds, Callable/Putable securities
of types of risk, look at "traditional" risk measures, look at
"modern" risk methods both "instantaneous" and
"empirical", and "bucketing" methods for both linear and
non-linear risks. Gamma, Vega, Theta, Rho measures etc.
comprehensive and extensively illustrated Handout Notes (see samples
Plus copies of relevant TG2 Books/e-Books
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"