Aarhus, Denmark

Option Trading and Risk Management

when 22 July 2024 - 9 August 2024
language English
duration 3 weeks
credits 10 EC
fee EUR 705

The course provides a “hands-on” introduction to options trading and risk management using state-of-the-art quantitative tools from the industry.

The course will cover pricing, risk, scenario analysis, P/L attribution and more. It is intended to complement the theoretical courses in derivatives pricing and financial engineering.

Using quantitative tools from the industry, students will learn how to characterise and decompose financial risks and how options and other derivatives can be used to hedge or take risk. As such, the course is relevant for students interested in pursuing careers in investment banking, capital markets, asset management etc.

The lectures will focus on how pricing models are used and how options are traded in practice, and considerable time will be spent on various market conventions, trading terminology and so on.

We will mainly cover liquid products that are widely used by many market participants, i.e., what are the cash flows, how are they priced and how is the risk quantified and hedged.

In parallel with the lectures, students will spend considerable time with pricing and risk management tools in Excel.

Course leader

Søren Bundgaard Brøgger

Target group

Master's Level

Fee info

EUR 705: EU/EEA citizens
EUR 1750: NON-EU/EEA citizens

Scholarships

No scholarships available

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