1-Day
Options
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
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.
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)
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