PURPOSE

To present the modern techniques and practices for calculating price of derivatives and how to use “Greeks” in risk management. Market examples in electronic spreadsheet will be used, with emphasis on greeks calculation and risk analysis for derivatives presented.

 MAIN TOPICS

. Analysis of risk portfolio for derivatives
. Smile analysis
. Evaluation of scenarios for greeks and their hedge
. Calculation of greeks
. Calculation of option price by Monte Carlo
. Calibration, arbitrage and dynamic hedge
. How to estimate volatility
. Implicit volatility curve
. Example of book with futures and dollar option
. Explanation of P&L
. Black-Scholes formula
. Risk management of a book of derivatives
. Greeks for exotic options
. Greeks by analytical and numerical solutions
. Binomial model
. Neutral delta-gama position
. Option price by arbitrage
. Price of options
. Separation of risk components
. Stress Scenario
. Value at risk – VaR