THE FOCUS OF THIS COURSE IS TO APPLY THEORETICAL KNOWLEDGE OF DERIVATIVES IN ACTUAL TRADING STRATEGIES. WHILE (SOME) KNOWLEDGE OF OPTIONS THEORY IS A REQUIREMENT FOR THIS COURSE, THE START OF THIS COURSE WILL BE A RECAP OF OPTIONS THEORY ALBEIT FROM A MARKET PRACTITIONERS’ PERSPECTIVE.
TWO OPTIONS TRADING STRATEGIES WILL BE ANALYZED IN-DEPTH: OPTIONS MARKET MAKING AND VOLATILITY ARBITRAGE. IN ORDER TO FULLY GRASP THESE STRATEGIES, ADVANCED CHARACTERISTICS OF DERIVATIVES WILL BE DISCUSSED (FOR EXAMPLE THE CONCEPT OF SKEW AND THE EFFECTS OF EARLY EXERCISE). ADDITIONALLY, EMPHASIS WILL BE PLACED ON THE RISK MANAGEMENT METHODOLOGIES THAT ARE REQUIRED FOR PROPERLY MANAGING THESE STRATEGIES.
THE STUDENTS WILL APPLY THEIR KNOWLEDGE IN PRACTICE: THE DISCUSSION OF EACH TRADING STRATEGY IS CONCLUDED WITH A TRADING SESSION, WHERE STUDENTS WILL RUN THEIR OWN TRADING BOOK IN A SIMULATED MARKET ENVIRONMENT WITH REAL-TIME MARKET DATA.