Vanilla & Exotic Options Modelling & Trading

This is a detailed programme for (mainly) equity and FX Option traders and aims to give a detailed understanding not only of the pricing techniques (binomial, trinomial, implied trees, numerical integrals, Monte Carlo simulation, etc.) of vanilla and exotic equity and FX options but also how to trade this options, dynamically manage an options books and manage the market risk of an options portfolio.

COURSE OUTLINE

PART I : Pricing

• Volatility and Correlation modeling for option pricing; vol cones, decomposition, Parkinson's number, EWMA (Kalman filter) and GARCH; basket volatilities, etc.;
• Black-Scholes pricing for vanilla options;
• Binomial trees and trinomial trees for vanilla options;
• Parametric models for pricing barrier options, Asian options, Lookbacks and Binary options;
• Monte Carlo models for vanilla and exotic option pricing;
• Option Symmetry analysis;
• Volatility surfaces and impact on pricing;
• Pricing basket options and structured products (range forwards, corridors, contingent premium options, etc.);
• Analysis of the Greeks.

PART II : Trading

• Hedging of the Greeks;
• Creating delta, gamma and vega neutral portfolios;
• Running a Market maker's book and pricing strategies;
• Trading barrier and binary options - dynamics, hedging and portfolio approach;
• Skew analysis and pricing with skew;
• Volatility surfaces re-visited and trading with skew;
• First order and second order volatility trades.

PART III : Risk Analysis

• Value at Risk (VaR) for FX options and Equity options portfolios using delta-gamma approach;
• Vega Value at Risk;
• Price-vol and strike-vol matrices, topography and bucketing;
• Pin risks and other non-linear risks (higher moments risk) analysis.

All Candidates will be awarded a Certificate of Participation by Risk Latte Company.

For Registration and Enquiries please
please fill out our Web-based form or Call the Risk Latte Team on +852 2584 6127