Option Hedging Simulation

London Financial Studies
En London (Inglaterra)

£ 2.590 - (3.006 )

Información importante

  • Short course
  • London (Inglaterra)
  • Duración:
    2 Days
  • Cuándo:

Options risk management can be very challenging in real life. This innovative programme uses practical examples and computer based simulations to give you an intuitive perspective on hedging and how to use the “Greeks” to measure the sensitivities of an option value with respect to all market parameters.

During two days, you will simulate the management of a portfolio of options and make hedging decisions just like a derivatives trader. You will test theories, learn from your own mistakes and perfect your decision making in a risk free platform. Once the behaviour and interplay of the Greeks are well understood, derivatives will have no more secrets.

The content covered in this programme applies to options traded in equity, currency, commodity and rates markets. Exercises are implemented using Excel VBA, which participants can take away.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Risk Managers
Stress Testers
Investment Managers and Analysts
Portfolio Managers and Hedge Fund Managers
Structured Products and Derivatives Desks
Trading Desks
Quantitative Researchers
Middle Office and IT professionals

Requisitos: Numerate background (basic) Basic knowledge of options Basic knowledge of Excel

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
16 marzo 2017
34 Curlew Street, se12nd, London, Inglaterra
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¿Qué aprendes en este curso?

Risk Management
IT risk
Delta Hedging
Investment manager
Hedging Cost
Hedging Simulation
Market skew
Vega matrix
Excel VBA
Stress Testers
Derivatives Desks


Day One

Hedging Cost
  • Forwards
  • Put Call Parity
  • Binomial Tree model
  • Black Scholes Merton model
Delta Hedging
  • Volatility
  • Several angles at delta hedging
Simulation: Delta hedging, P&L distribution and hedging balance

  • Option Price dynamics
  • Greek shapes
  • Hedging volatility
  • Trading the Black Scholes assumptions
Simulation: Risk management of options Short dated options, Long dated options and P&L explained

Day Two

Portfolio Management
  • Greek sensitivity of a derivative
  • Portfolio Greeks
  • Vega matrix
  • Portfolio effects
Simulation: Portfolio hedging Delta Vega hedging, Delta vega gamma theta hedging and Portfolio stability of exotics

Volatility Term Structure
  • Time dependent volatility 
  • Greeks revisited
  • Market term structure and non arbitrage
Workshop: Hedging under term structure

Skew and Smile
  • Volatility surface
  • Market skew and dynamics
Workshop: Become an option market maker and set your own skew