Mar 20 - 23 Mar, 2013
This course provides participants with a comprehensive and detailed analysis of vanilla and exotic options â€“ pricing, risk characteristics, and their dynamic behaviour in the context of the management of a portfolio â€“ a combination of proprietary risk strategies combined with flow trading and market making responsibilities. The primary focus of the programme is to examine the dynamic risk characteristics of options from a trader/client perspective. Particular emphasis is placed on gaining an understanding of the dynamic interaction between option price determinants, the impact on portfolio risk of higher order non-linearities of vanilla and exotic options and the implications for their management. The programme finally focuses on exotic options, and provides a similar perspective on their pricing and risk characteristics, in order to understand the motivations and rationale for their usage in a variety of different hedging and trading applications.
Venue: Central London Hotel