PART I: REFRESHER 0. Notation and Terminology 1. Delta and Gamma PART II: DELTA HEDGING 2. A Simulation Model for Delta Hedging – European Call Options 3. Delta Hedging European Put Options 4. Calculating Cash P&L for a Call Option 5. Calculating Cash P&L for a Put Option PART III: BUILDING SURFACES IN EXCEL 6. Understanding Volatility 7. Building Volatility Surfaces 8. Forward Implied Volatilities PART IV: HEDGING HIGHER ORDER GREEKS 9. Vega, Volga & Vanna 10. Hedging Higher Order Greeks 11. Reviewing the Solver Solution PART V: APPLICATIONS 12. Rebalancing, Implied Vol & Rho 13. Understanding Theta 14. Option Prices and Time to Expiry
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Jawwad Farid has been building and implementing risk models since
August 1998. Working with clients on four continents, he helps
bankers, board members and regulators take a market-relevant
approach to risk management. He is the founder of Alchemy
Technologies, a risk consulting practice, and writes about risk and
treasury products at FinanceTrainingCourse.com.
Jawwad's expertise includes investment management, product
development and risk models. He has advised multiple due diligence
teams on risk assessment in banking and insurance sectors, set up
FX and commodity hedging desks, built fair value models for
illiquid securities for FAS 157 disclosures, and helped a US$3
billion life insurance fund on allocation and bid patterns for 20-
and 30-year bonds, ALM mismatch and fixed income strategy.
He has worked with the securities and banking regulator and the
Asian Development Bank on assessing the state of the corporate bond
market as well as issuing valuation opinions on cross currency
swaps, participating forwards and contingent liabilities for
Exchange Guarantee Funds in the region.
Jawwad is a Fellow Society of Actuaries (Schaumburg, IL), holds an
MBA from Columbia Business School, and is a computer science
graduate (NUCES FAST). He is an adjunct Faculty member at the SP
Jain Global School of Management in Dubai and Singapore, where he
teaches Risk Management, Derivative Pricing, Project Finance and
Entrepreneurship.
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