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Level

Intermediate

Beginners will be required to complete pre-course work.

Duration

5 days

Overview

This workshop provides a comprehensive examination of the mathematical theory and practical applications of options in the equity, currency, commodity, and fixed income markets. The latter part of the programme focuses on trading and portfolio management techniques for these complex instruments.

Extensive use is made of spreadsheet models and option simulators throughout the course.

Learning Outcomes

  • Understand the statistical framework of option theories
  • Comprehend the mathematics and logic of the Binomial Option Model
  • Comprehend the mathematics and logic of Black-Scholes-Merton
  • Comprehend the mathematics and logic of the Black Model
  • Appreciate the significance of the ‘Greek’ risk sensitivities
  • Price options correctly given phenomena such as ‘volatility smiles’
  • Combine options into appropriate strategies for hedging and investment
  • Evaluate option portfolios from a risk management perspective