PURPOSE

To provide modern techniques for evaluation and prediction, and negotiation of volatility with emphasis on applications to the Brazilian market. Operations of purchase and sale of volatility will be also discussed and exercised.

 MAIN TOPICS

. Risk analysis
. Calculation of volatility
. Calibration, arbitrage and dynamic hedge
. Purchase and sale of volatility
. Risk control via greeks
. Delta, gama, teta, rho and vega
. Distribution of returns and estimation of volatility
. Explanation of P&L
. Economic factors on volatility
. Black-Scholes formula
. Management of a book of derivatives
. Negotiation of volatility
. Origin of volatility
. Neutral delta-gama position
. Option price by arbitrage
. Option price by Monte Carlo
. Gama risk
. Implicit volatility and smile analysis
. Maximum likelihood, exponential smoothing and X-GARCH