Option Hedging Simulation

London Financial Studies

Short course

In London

£ 2001-3000

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Description

  • Type

    Short course

  • Location

    London

  • Duration

    2 Days

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.

Facilities

Location

Start date

London
See map
34 Curlew Street, se12nd

Start date

On request

About this course

Traders
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

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

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Reviews

This centre's achievements

2016

All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 16 years

Subjects

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

Teachers and trainers (1)

Peter Leoni

Peter Leoni

Teacher

Dr Peter Leoni graduated with a PhD in mathematical physics and worked for KBC Asset Management as a risk manager modelling equity and interest rate derivatives. He then moved to ING as a front office quant at the exotic equity derivatives desk; and before the credit crunch hit, decided to change his career path towards commodities, focusing on energy. Dr Leoni spent 4 years in the trading unit of GDF Suez in Brussels and is currently the director of trading for the London/Geneva office of a privately owned trading firm.

Course programme

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

Greeks
  • 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

See related categories

Option Hedging Simulation

£ 2001-3000

The best Financial Analysis courses

See all

See all