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Overview

Table of Contents

Extra

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1-Day Options

Overview

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 one day.

Will learn: 

·        how to price vanilla and some non-standard options, and to make pricing adjustment for common variations

·        common options structures and pay-off profiles

·        derivation of the “Greeks” instantaneous risk parameters

·        techniques for market convention sensitivity based position and portfolio risk management

Audience: market professionals with some limited experience (some understanding of markets/products helpful)

·        Traders, sales, support,

·        Risk Management

Table of Contents 

1)     Introduction to Options and Option pay-off profiles: discussion of vanilla calls/puts pay-off profiles and risks.

2)     Options on different asset classes: Review of option structures applied to markets such as IR (caps/floors/swaption), CCY, Equity, Commodity

3)     Option Pricing for the Real World (1): Black-Scholes verses Event risk, liquidity considerations.

4)     Option Pricing for the Real World (2):  Non standard structures, securitisations, embedded options

5)     Variations on the Options theme: Convertible Bonds, Callable/Putable securities

6)     Risk Assessment: review 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.

 

Extras

173 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Plus copies of relevant TG2 Books/e-Books

Note: 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" list HERE)

 

    Get a Syllabus in more detail

    Sign Up for a scheduled course

    Sign Up for an in-house course

 

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Last modified: July 25, 2011