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OPTIONS WORKSHOP AND RISK MANAGEMENT
 
     
  Summary Description  
  This workshop provides a comprehensive understanding of covered and naked option applications, pricing, hedging and trading. A must for middle and back office staff.  
     
  Methodology  
  Presentations, case studies, group work and classroom discussion  
     
  Target Audience  
  Front office sales and e-Commerce staff, mid-office, treasury operations, relationship managers, credit review officers  
     
  Main Topics  
 
Option basics
- Basic option payoffs and terminology
- Survey of the most commonly traded underlying’s
- Drift and the derivation of the no-arbitrage
- Forward price
- Introducing volatility, historical vs. implied
- Intrinsic vs. time value
- American vs. European
Option pricing theory
- Arbitrage-free pricing vs. probabilistic pricing
- Binomial model
- Normal prices vs. normal returns, the Black-Scholes framework
- Implied volatility
- Drivers for the volatility smiles and skews
- The Monte Carlo models
  Model selection
Volatility and P&L
Risk management and the Greeks
- Introducing the Greeks
- Delta hedging in practice
- Gamma and the frequency of rebalancing
Trader’s P&L
- Rebalancing gains (losses) - Theta losses (profits)
Straddles and strangles
Managing vega across strikes
Trading the smile: risk-reversals and butterflies
Second-order Greeks: vanna and vomma
Risk management for interest rate options
 
       
 
  Duration  
  2 days  
     
   
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