Options Markets

online creation

• Contents

Introduction (video)

1. Forwards and futures (slides, excel example)

   1. Overview: Derivatives v primary securities (video)

   2. Forwards: Definition and payoff function (video)

   3. Forward pricing and arbitrage trading (video)

   4. Summary (video) and examples (video)

2. General properties of options (slides, excel example)

   1. Definition and option payoff (video)

   2. Option payoff examples (video)

   3. Option markets and mechanics (video)

   4. Option general behaviors (video)

   5. Summary and examples (video)

3. Option strategies (slides)

   1. Objectives and put-call parity (video)

   2. General procedures for strategy construction (video)

   3. Common option strategies (video)

   4. Theories and implications (video)

   5. Business applications (video)

4. Option pricing with binomial trees (slides, excel example)

   1. One step tree and option replication (video)

   2. Pricing by hedging away risk (video)

   3. Risk-neutral valuation (video)

   4. Multi-step tree (video) 

   5. Multi-step tree on excel (video)

   6. General setup (video)

5. The BMS model (slides, excel example)

   1. Primer on continuous time process (video)

   2. Simulating the price dynamics (video)

   3. Option pricing under the BMS model (video)

   4. An excel BMS pricer and examples (video)

   5. General discussions (video)

6. P&L attribution and risk management (slides)

   1. P&L attribution via the BMS model (video)

   2. Delta (video)

   3. Vega (video)

   4. Higher order exposures (video)

   5. Dynamic hedging v payoff matching (video)

7. Beyond BMS: 2nd/3rd generation option pricing models (slides)

   1. The implied volatility surface and its variation (video)

   2. The time-series variation of the implied volatility surface (video)

   3. Second-generation bottom-up option pricing models (video)

   4. Decentralized top-down option pricing (video)