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所在平台: Udemy |
课程主页: https://www.udemy.com/course/option-pricing-and-risk-management/
课程评论：没有评论
课程名称：期权定价与风险管理 课程概述：期权的定价与风险管理密切相关，可以帮助管理期权投资组合。本课程最初是为没有金融知识的IT开发人员设计的，适合那些希望进入银行或对冲基金工作的人。需要注意的是，这门课程并不是教你如何通过交易期权轻松获利，没有风险的赚钱方式是不存在的。 课程将详细研究正态分布，这是布莱克-肖尔斯模型的基础，并广泛应用于金融领域。内容包括期权的详细描述、期权模型的必要性及静态对冲下的盈亏平衡概念。此外，课程还涵盖泰勒展开和数学导数等必知概念，这有助于学生更好地理解这些知识。 我们将深入分析布莱克-肖尔斯模型及其希腊字母，特别是复制理论。学生将通过模拟管理一个虚拟期权投资组合的风险，直到其到期，这将帮助理解Gamma和Theta的运作方式。有经验的交易者曾经说过，“你在失去5万美元之前不会真正理解Gamma和Theta。”因此，这个实时模拟练习将是一个很好的机会，并能为学生节省不必要的损失。 课程还将讨论Vega风险管理，证明持有虚值期权的优势，并在Excel中进行实践，这将引入Volga的概念。虽然布莱克-肖尔斯模型的许多假设都是错误的，但市场的“微笑”是对此问题的回应。我们将分析微笑的两个组成部分：Volga和危机。 课程将简要介绍SABR模型，作为微笑模型的代表，并对SABR参数进行标定。最终，我们将使用之前学到的概念，在Excel中构建一个WTI期货和期权的风险管理系统。初版将以每个期货的平稳波动率构建，随后将集成SABR微笑。 课程还会小幅讨论插值方法，因为选择插值方法时需谨慎。风险管理相当复杂，金融的风险管理是由一系列小的简单流程和措施组成，细节决定成败，细节出错将导致巨额损失。 最后，课程将介绍期权交易员的工作，包括日常任务、风险测量和盈亏核算。这是一门关于期权交易从理论到实践的全面课程，包含大量Excel的应用资料，学生可下载使用。
Pricing and risk are deeply intricated and this allows to manage a portfolio of options.This class was originally created for IT developer with no finance knowledge who were going to work in a Bank or a Hedge Fund.It can be also useful for people getting into the banking industry.This class is NOT about how to make easy money without risk by trading options. Remember, in Finance, there is No Free Lunch.The Normal Law will be studied in details, as it is the building block of the Black Scholes model and it is extensively used in Finance.Detailed description of Option. Why do we need an option model, can we see an option with a static hedge: the notion of break-evenAnother 'must know' is the Taylor Development and the mathematical Derivative, a chapter that will allow the student to learn or review these concepts.The Black Scholes model and its Greeks will be analysed in detail, especially its replication theory: you will have an assessment to risk manage a dummy option portfolio until its maturity in Excel, this is a good way to understand how the Gamma/ Theta works. Back in the days when I was a trader, the seasoned option traders used to say "you do not understand Gamma nor Theta until you lose 50K $ on it".So this live Simulation is in my opinion a very good exercise, and it saves 50K $ ;-)The Vega risk management: we will prove that it is nice to be long Out of the Money options, this will be done in Excel. It will lead to the introduction of the Volga.It is well known that Black Scholes is a model where nearly all of its assumptions are wrong, the smile is the answer of the Markets to this issue. We will analyse the two components of the Smile: Volga and Crisis.Light introduction of the SABR model as it is a representative of the Smile models: you will also perform a Calibration of SABR parametersEventually, we will build a Risk Management System in Excel for WTI Futures and Options. All of the previous concepts will be used to create this Excel, it will show all our Option Greeks. The first version will be built with a Flat volatility for each Future. In a second time, SABR smile will be integrated.A small chapter will study the interpolation methodologies, as they must be carefully chosen. The Risk Management is quiet complex, as always in finance, it is the sum of small simple process and measures, but the devil hides in the details and being wrong in the details will cost you a lot of money.Eventually, the Option Trader Job will be presented, with daily tasks, risk measurement and P & L verification.So this class is a complete overview of the option trading process from theory to practice. It has a lot of material based on Excel, and it is downloadable for the students.
