Guide to Options
Objective: a 3-day
"black-box" seminar to value/structure and most notably to trade
options in the real world and to optimally manage P&L for position keeping and
on every aspect of valuation and trading of options
in detail the implication of various hedging methods and strategies
examines in detail pay-out profiles and structuring for investment
and risk/return profile management
thorough treatment of valuation assumption, valuation methods with
many worked examples
to answer questions like:
how to price options with various methods, and the implications
understand the behaviour of options value and real world P&L
gain thorough understanding of hedging/positioning in the real
world, and to maximise holding period risk-adjusted returns
market professionals with at least 1-year of experience
Traders, sales, support,
Overview: consideration of the big picture and objectives of
securities and derivatives valuation and risk management and the frame work for
spot and forward instruments and the concept of arbitrage valuation.
Options Basics: introduction to traditional and vanilla options
pay-out profiles, as well consideration of common (vanilla) options structures
Valuation Basics: examining pricing under uncertainty using quantitative methods and models used to represent stochastic (uncertain)
processes and the applications to finance expressed in clear down-to-earth terms
and including a review of statistical and probabilistic concepts.
This section culminates not only with a clear understanding of the
fundamentals of all pricing models, but also worked examples of pricing a
vanilla call and put options with Monte Carlo and Binomial Tree techniques.
Market Convention Methods for Options Pricing: Black-Scholes Option Pricing,
Black Scholes case explained in detail (:where it comes from and what it
means, Risk neutral process, Using the B-S Equation, Properties of the B-S Equation,
Black-Scholes can FAIL for risk
Monte Carlo Method
version of Black-Scholes, Binomial
Tree Option Pricing in a Black-Scholes world.
Market Convention Methods for Options Hedging: Sensitivity and the "Greeks",
Black-Scholes Greeks, Sample “Bucket” Report, Dynamic
vs Static Hedges and Sensitivity
vs. Profile Hedges (Delta hedging, Pyramid
Profile Matching, Dynamic
Profile Matching, Rules
of Thumb for Dynamic/Static vs. Sensitivity/Profile)
Volatility Basics: Quantifying uncertainty, Characterising Volatility,
Implied Volatility, Volatility Skew, Term structure of volatility, Advanced volatility concepts
(forecasting volatility, a glimpse at cheap/dear analyses, implied distributions),
Some real world effects, Correlation and Covariance.
Portfolio Simulation: introduction to simulation techniques for assessing
trading strategies of a position/portfolio over a holding period, case study of a vanilla
call option position hedging strategy analyses including both back-testing and
Options: qualitative review of each of the "usual suspects": Asian, Digital,
Barrier, Lookback, Chooser, Compound, Spread, Quanto, etc as well examination
of embedded (e.g. callable bond) and structured (convertible bond) products.
Credit, and Regulatory Issues: an introduction to the salient aspects of
operations and management of options portfolios, including VAR analyses,
Credit implications, and interaction with regulators and regulatory
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"