Fr En



AYMERIC KALIFE - CEO, iDigital Partners,Adjunct Université Paris - Dauphine

Course objectives

The objective of this course is to give an all round comprehensive knowledge and understanding of the theory and the day-to-day use of derivatives contracts. Participants will learn how banks and corporate treasuries use Financial Options alike in the management of risks, for trading, hedging and arbitrage and their role in the day-to-day running of the finances of businesses. Starting from some basic knowledge of cash equity and equity derivatives market, and based on real option trade ideas capitalizing on a “nuanced” market view, it equips the audience with the skills to price and risk manage the most common and complex options, by explaining and dissecting the risks associated with trading a derivative from a risk/return/cost perspective by means of real life examples.

The class uses MS Excel Spreadsheet applications and Visual Basic extensively, involving the use of market data&Fixed Income Market Research publications.

Course outline

I. Derivatives products features overview

  • Derivative Market overview
  • Mechanics of Delta One derivatives (Futures & swaps)
  • Mechanics of Options Markets

II. Capitalizing on a “nuanced” view using derivatives

  • Specific market situations where derivatives go beyond cash
  • Tailoring a derivatives strategy to a specific market situation
  • Capitalizing on a risk/return/cost profile using derivatives

III. Arbitraging using derivatives

  • Asymmetry between market rise and fall: “the skew”
  • Short-term crash fears: jumps and “fat tails”
  • Long-term uncertainty: the volatility term structure

IV. Hedging using derivatives

  • Dynamic hedging: “Delta hedging” using Futures
  • Static hedging: trading “Gamma and Vega hedging” using options
  • P&L and hedging issues in practice

HullJ., Options, Futures, & Other Derivatives, Prentice Hall.

WilmottP., Derivatives: The Theory and Practice of Financial Engineering


Homeworks, Final exam