[{"command":"add_css","data":[{"rel":"stylesheet","media":"all","href":"\/sites\/publishing\/files\/css\/css_JpnJx_wbX4sHUdtxf1fMi51sMD7z7tvNmBJ65MA986g.css?delta=0\u0026language=en\u0026theme=case_publishing\u0026include=eJxLys8vKS4pSiyIT0osKsrM18_LT0kFAGBbCJI"}]},{"command":"insert","method":"html","selector":"#microsite-144756","data":"\n\n\u003Carticle about=\u0022\/node\/144756\u0022 class=\u0022node node--type-micro-site node--view-mode-full clearfix\u0022\u003E\n  \u003Cheader\u003E\n    \n    \n        \u003C!--  --\u003E\n  \u003C\/header\u003E\n  \u003Cdiv class=\u0022node__content clearfix microsite-content-block\u0022\u003E\n    \n\n\n            \u003Cdiv class=\u0022clearfix text-formatted field field--name-body field--type-text-with-summary field--label-hidden field--item\u0022\u003E\u003Ch4\u003ETeaching objectives\u003C\/h4\u003E\n\u003Cp\u003EAny subset of the following issues can be covered:\u003C\/p\u003E\n\u003Col\u003E\n\u003Cli\u003EOption properties:\u003C\/li\u003E\n\u003C\/ol\u003E\n\u003Cul\u003E\n\u003Cli\u003EBasic derivative instruments: forwards, puts, and calls.\u003C\/li\u003E\n\u003Cli\u003ETerminology and payoff diagrams.\u003C\/li\u003E\n\u003Cli\u003EKey concepts in derivatives: leverage; counterparty risk; synthetic vs. direct position.\u003C\/li\u003E\n\u003Cli\u003ETrade rationales for the LIA and Goldman Sachs\u2019: hedging, speculation or mistake?\u003C\/li\u003E\n\u003C\/ul\u003E\n\u003Col start=\u00222\u0022\u003E\n\u003Cli\u003EOption valuation:\u003C\/li\u003E\n\u003C\/ol\u003E\n\u003Cul\u003E\n\u003Cli\u003EThe impact of maturity, strike price, early exercise and dividends on a derivative\u2019s value.\u003C\/li\u003E\n\u003Cli\u003EThe Put-Call Parity relationship. Does it hold for listed options?\u003C\/li\u003E\n\u003Cli\u003EArbitrage-based valuation bounds.\u003C\/li\u003E\n\u003Cli\u003EVolatility and the dividend yield calibration.\u003C\/li\u003E\n\u003Cli\u003EBinomial option pricing.\u003C\/li\u003E\n\u003Cli\u003EBlack-Scholes option pricing formula.\u003C\/li\u003E\n\u003Cli\u003EMonte Carlo simulations.\u003C\/li\u003E\n\u003Cli\u003EThe trade\u2019s value and its evolution\u003C\/li\u003E\n\u003Cli\u003EPath-dependency in derivatives.\u003C\/li\u003E\n\u003Cli\u003EPricing exotic derivatives: Accounting for the lookback strike feature\u003C\/li\u003E\n\u003Cli\u003EHedging exotic derivatives: Impact of a stock price drop (delta) and volatility increase (vega).\u003C\/li\u003E\n\u003C\/ul\u003E\n\u003Cp\u003E\u0026nbsp;\u003C\/p\u003E\n\u003Cp\u003EThe case can be taught in a variety of formats depending on time, participants, etc. as displayed in the table below. TN1, TN2 refer to the Teaching Notes for Session 1 and Session 2.\u003C\/p\u003E\n\u003Ctable border=\u00221\u0022 cellpadding=\u00221\u0022 cellspacing=\u00221\u0022 style=\u0022width: 700px;\u0022\u003E\n\u003Cthead\u003E\n\u003Ctr\u003E\n\u003Cth scope=\u0022col\u0022 style=\u0022width: 198px;\u0022\u003E\n\u003Ch5\u003E\u003Cstrong\u003ETopics\/Format\u003C\/strong\u003E\u003C\/h5\u003E\n\u003C\/th\u003E\n\u003Cth scope=\u0022col\u0022 style=\u0022width: 462px;\u0022\u003E\n\u003Ch5\u003E\u003Cstrong\u003EMaterial (in Teaching Notes)\u003C\/strong\u003E\u003C\/h5\u003E\n\u003C\/th\u003E\n\u003C\/tr\u003E\n\u003C\/thead\u003E\n\u003Ctbody\u003E\n\u003Ctr\u003E\n\u003Ctd\u003E\u003Cstrong\u003EOptions Basics\u003C\/strong\u003E\u003Cbr\u003E\u003Cbr \/\u003E\n\t\t\t(90mn if students come prepared, half day if they work in session)\u003C\/td\u003E\n\u003Ctd\u003E\u003Cstrong\u003ETN1: \u003C\/strong\u003ESituation; Trade mechanics, properties and rationale; Value impact of strike, maturity, dividends; Conclusion; \u003Cstrong\u003ETN2: \u003C\/strong\u003EWhat happened?\u003C\/td\u003E\n\u003C\/tr\u003E\n\u003Ctr\u003E\n\u003Ctd style=\u0022width: 198px;\u0022\u003E\u003Cstrong\u003EOption Basics w\/ Value Bounds\u003C\/strong\u003E\u003Cbr\u003E\u003Cbr \/\u003E\n\t\t\t(90mn if students come prepared, half day if they work in session)\u003C\/td\u003E\n\u003Ctd style=\u0022width: 462px;\u0022\u003E\u003Cstrong\u003ETN1\u003C\/strong\u003E: As above + Value bounds w\/o (and possibly w\/) dividends; Conclusion; \u003Cstrong\u003ETN2:\u003C\/strong\u003E What Happened?\u003C\/td\u003E\n\u003C\/tr\u003E\n\u003Ctr\u003E\n\u003Ctd style=\u0022width: 198px;\u0022\u003E\u003Cstrong\u003EIntroduction to Binomial Trees\u003C\/strong\u003E\u003Cbr\u003E\u003Cbr \/\u003E\n\t\t\t(90mn if students come prepared, half day if they work in session)\u003C\/td\u003E\n\u003Ctd style=\u0022width: 462px;\u0022\u003E\u003Cstrong\u003ETN1: \u003C\/strong\u003ESituation; Trade mechanics; \u003Cstrong\u003ETN2: \u003C\/strong\u003EBinomial trees w\/o (and possibly w\/) dividends; Conclusion; What happened?\u003C\/td\u003E\n\u003C\/tr\u003E\n\u003Ctr\u003E\n\u003Ctd style=\u0022width: 198px;\u0022\u003E\u003Cstrong\u003EIntroduction to Black-Scholes\u003C\/strong\u003E\u003Cbr\u003E\u003Cbr \/\u003E\n\t\t\t(90mn if students come prepared, half day if they work in session)\u003C\/td\u003E\n\u003Ctd style=\u0022width: 462px;\u0022\u003E\u003Cstrong\u003ETN1:\u003C\/strong\u003E Situation; Trade mechanics; \u003Cstrong\u003ETN2:\u003C\/strong\u003E Black-Scholes w\/o (and possibly w\/) dividends; Conclusion; What happened?\u003C\/td\u003E\n\u003C\/tr\u003E\n\u003Ctr\u003E\n\u003Ctd style=\u0022width: 198px;\u0022\u003E\u003Cstrong\u003EIntroduction to Binomial Trees and Black-Scholes\u003C\/strong\u003E\u003Cbr\u003E\u003Cbr \/\u003E\n\t\t\t(90mn if students come prepared, half day if they work in session)\u003C\/td\u003E\n\u003Ctd style=\u0022width: 462px;\u0022\u003E\u003Cstrong\u003ETN1: \u003C\/strong\u003ESituation; Trade mechanics; \u003Cstrong\u003ETN2: \u003C\/strong\u003EBinomial trees + Black-Scholes w\/o (and possibly w\/) dividends; Conclusion; What happened?\u003C\/td\u003E\n\u003C\/tr\u003E\n\u003Ctr\u003E\n\u003Ctd style=\u0022width: 198px;\u0022\u003E\u003Cstrong\u003EAdvanced Binomial Trees\u003C\/strong\u003E\u003Cbr\u003E\u003Cbr \/\u003E\n\t\t\t(90mn if students come prepared, half day if they work in session)\u003C\/td\u003E\n\u003Ctd style=\u0022width: 462px;\u0022\u003E\u003Cstrong\u003ETN1:\u003C\/strong\u003E Situation; Trade mechanics; \u003Cstrong\u003ETN2:\u003C\/strong\u003E Binomial trees w\/o and w\/ dividends; Model Calibration; Floating Lookback Strike; Conclusion; What happened?\u003C\/td\u003E\n\u003C\/tr\u003E\n\u003Ctr\u003E\n\u003Ctd style=\u0022width: 198px;\u0022\u003E\u003Cstrong\u003EAdvanced Option Pricing\u003C\/strong\u003E\u003Cbr\u003E\u003Cbr \/\u003E\n\t\t\t(90mn if students come prepared, half day if they work in session)\u003C\/td\u003E\n\u003Ctd style=\u0022width: 462px;\u0022\u003E\u003Cstrong\u003ETN1: \u003C\/strong\u003ESituation; Trade mechanics; \u003Cstrong\u003ETN2: \u003C\/strong\u003EBinomial trees + Black-Scholes w\/o and w\/ dividends; Model calibration; Floating Lookback Strike; Monte Carlo Simulations; Conclusion; What happened?\u003C\/td\u003E\n\u003C\/tr\u003E\n\u003Ctr\u003E\n\u003Ctd style=\u0022width: 198px;\u0022\u003E\u003Cstrong\u003EOptions for Beginners: 1 Day\u003C\/strong\u003E\u003Cbr\u003E\u003Cbr \/\u003E\n\t\t\t(90mn if students come prepared, half day if they work in session)\u003C\/td\u003E\n\u003Ctd style=\u0022width: 462px;\u0022\u003E\u003Cstrong\u003ESession 1, TN1:\u003C\/strong\u003E Situation; Trade mechanics, properties and rationale; Value impact of strike, maturity, dividends; Conclusion; \u003Cstrong\u003ESession 2, TN2:\u003C\/strong\u003E Binomial trees + Black-Scholes w\/o dividends; Conclusion; What happened?\u003C\/td\u003E\n\u003C\/tr\u003E\n\u003Ctr\u003E\n\u003Ctd style=\u0022width: 198px;\u0022\u003E\u003Cstrong\u003EIntroduction to Exotic (path-dependent) Options\u003C\/strong\u003E\u003Cbr\u003E\u003Cbr \/\u003E\n\t\t\t(Two 90mn sessions if students come prepared, one day if they work in session)\u003C\/td\u003E\n\u003Ctd style=\u0022width: 462px;\u0022\u003E\u003Cstrong\u003ETN1:\u003C\/strong\u003E Situation; Trade mechanics; \u003Cstrong\u003ETN2:\u003C\/strong\u003E Floating Lookback Strike; Model Calibration; Hedging; Monte Carlo Simulations; Conclusion; What happened?\u003C\/td\u003E\n\u003C\/tr\u003E\n\u003C\/tbody\u003E\n\u003C\/table\u003E\n\u003Cp\u003E\u003Cbr\u003E\u003Cbr \/\u003E\n\u0026nbsp;\u003C\/p\u003E\n\u003Cp\u003E\u0026nbsp;\u003C\/p\u003E\n\u003C\/div\u003E\n      \n  \u003C\/div\u003E\n\u003C\/article\u003E\n","settings":null}]