Professional Course

Option Hedging Simulation

London Financial Studies, In New York City
2 days
4,070 USD
Next course start
Contact LFS for details See details
2 days
4,070 USD
Next course start
Contact LFS for details See details
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Course description

Option Hedging Simulation

Applying theory to practice takes its best form in this cutting-edge program.

Options risk management can be very challenging in real life. This innovative program uses practical examples and computer based simulations to give you an intuitive perspective on hedging, and how to use the “Greeks” to measure the sensitivities of an option value with respect to all market parameters.

During two days, you will simulate the management of a portfolio of options and make hedging decisions just like a derivatives trader. You will test theories, learn from your own mistakes, and perfect your decision-making in a risk-free platform. Once the behavior and interplay of the Greeks are well understood, derivatives will have no more secrets.

The content covered in this program applies to options traded in equity, currency, commodity, and rates markets. Exercises are implemented using Excel VBA, which participants can take away.

All participants will receive a copy of Dr Leoni’s book “Hedging and the Greeks Explained”.

Upcoming start dates

1 start date available

Contact LFS for details

  • Classroom
  • New York City

Who should attend?

This Option Hedging Simulation program is designed for:

  • Traders
  • Risk Managers
  • Stress Testers
  • Investment Managers and Analysts
  • Portfolio Managers and Hedge Fund Managers
  • Structured Products and Derivatives Desks
  • Trading Desks
  • Quantitative Researchers
  • Middle Office and IT professionals

Training content

Day One

Hedging Cost

  • Forwards
  • Put Call Parity
  • Binomial Tree model
  • Black-Scholes-Merton model

Delta Hedging

  • Volatility
  • Several angles at delta hedging

Simulation: Delta hedging, P&L distribution, and hedging balance


  • Option Price dynamics
  • Greek shapes
  • Hedging volatility
  • Trading the Black-Scholes assumptions

Simulation: Risk management of options - Short-dated options, Long-dated options, and P&L explained

Day Two

Portfolio Management

  • Greek sensitivity of a derivative
  • Portfolio Greeks
  • Vega matrix
  • Portfolio effects

Simulation:  Portfolio hedging - Delta-Vega hedging, Delta-vega-gamma-theta hedging, and Portfolio stability of exotics

Volatility Term Structure

  • Time-dependent volatility 
  • Greeks revisited
  • Market term structure and non-arbitrage

Workshop:  Hedging under term structure

Skew and Smile

  • Volatility surface
  • Market skew and dynamics

Workshop:  Become an option market maker and set your own skew

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London Financial Studies - Capital Markets Executive Education in the USA

Global markets move quickly, evolving continuously and deepening in complexity. Over the past decades London Financial Studies has provided specialist executive education programs and short courses focused exclusively on global capital markets. Preparing only the highest quality and most relevant...

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