This course provide a sound understanding of the practical, advanced issues involved in vanilla derivatives trading, hedging and risk management.
The volatility surface and its dynamics are discussed in details, covering the multiple effects that it needs to represent, providing guidance on on how to make volatility surfaces for underlyings where options markets are illiquid, sparse or absent.Several important techniques are discussed, though complex math such as stochastic calculus is avoided, focusing on practical issues and heuristic recipes.
Spreadsheet exercises and examples are extensively used.
Delegates will acquire the concepts, issues and techniques relevant in modern practice via hands-on exercises in Excel
This course is designed for derivatives professionals such as:
Delegates require a working knowledge of vanilla options and to be confortable with calculus and statistic to undergraduate level.
Private in-house: please contact us to discuss details.
Public courses: LFS is beginning to schedule this course