29.09.2016
Uploaded DBK, AAPL pics of volsurface fits today. Aggregated fitting pics in their own folder.
07.09.2016
"Trading realised variance using listed vanillas" recently published - see more and download here
18.05.2016
Streamlined with list of new and updated courses. Note: software pages, which describe our main business, are in process of being updated 
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Advanced options trading and risk management

Course level: Advanced
Delivery method: Classroom
Duration: 3 days
Schedule: Contact us

Overview.

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.

What will you learn? 

Delegates will acquire the concepts, issues and techniques relevant in modern practice via hands-on exercises in Excel

  • Practical running and hedging of options portfolios
  • In-depth understanding of dynamic hedging and volatility trading, its P&L, its uncertainties
  • Limits and extensions of Black Scholes
  • Avoiding costly mistakes in the basics
  • Probabilities from option prices, application to prop-trading and glimpse of exotic options
  • Why we need a volatility surface
  • The extra effects on the volatility surface: dividends, credit, tails events
  • Volatility surface modelling
  • Volsurface dynamics
  • Building volsurfaces from scratch: ingredients and tricks
  • Hedging and pricing tails events
  • Free lunches and quasi-arbs: why the greeks are wrong

Who is this course for?

This course is designed for derivatives professionals such as:

  • Derivatives traders, both sell-side and prop
  • Risk managers
  • Auditors and product controllers
  • Junior quant analysts

What are the pre-requisites?

Delegates require a working knowledge of vanilla options and to be confortable with calculus and statistic to undergraduate level.

What next?

Private in-house: please contact us to discuss details.
Public courses: LFS is beginning to schedule this course

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