OPTIONS: PRICING AND APPLICATIONS. Modern Developments in Theory and Practice. conducted by. Mark Rubinstein

Transcription

1 ALBA EXECUTIVE EDUCATION PROGRAMS OPTIONS: PRICING AND APPLICATIONS conducted by Mark Rubinstein Paul Stephens Professor of Applied Investment Analysis Haas School of Business, University of California at Berkeley June 27-28, :00 21:00 DIVANI APOLLON PALACE 10, Agiou Nickolaou & Heliou Str., Kavouri VOULIAGMENI

2 Description This intensive two-day seminar is designed to help practitioners upgrade their knowledge of options. The seminar will offer a unique opportunity for market professionals to discuss with the instructor issues of hedging, pricing, designing and marketing of options. Participants will explore the use of options in managing portfolios, including asset allocation strategies. Also, they will learn about topics such as pricing of index futures and index options, and analysis of options positions. Seminar participants will have the opportunity to be exposed to four interactive computer applications (MATLAB, Rubinstein s Options Calculator, Options Live and Hedge 99) related to the subject, which are part of the teaching material to be distributed in class. Also, participants will receive Mark Rubinstein s recent book, Derivatives: A PowerPlus Picture Book, which includes a CD-ROM that incorporates the above mentioned computer applications, Audio Mini-Lectures, Interactive Quizzes and all related slides and texts. Participant Profile Executives of financial institutions, brokerage firms and other corporations with responsibility for risk management and/or trading and marketing of new derivative products. Institutional investors, especially fund managers who may apply options for hedging purposes Regulators and policymakers who want to improve their understanding of the risks associated with options Please note that participants are excpected to have a basic understanding of algebra and futures. If this is not the case, we will be happy to provide a free tutorial prior to the seminar. Seminar Outline Introduction to Options Basic Positions Combined Positions Valuation Replication Binomial Option Pricing Model Introduction Single Model Multi-Period Model Hedging Extensions Black-Scholes Formula Devivation Hedging Extensions Volatility Realized Implied

3 Admittance Procedure Please complete, in full, and submit the enclosed application form. You can make a provisional reservation prior to this and we will hold a place for you for 2 weeks. Please note, however, your place is not guaranteed until receipt of your application form, as selection is not automatic. You should apply as early as possible due to limited class size. Priority will be given to early applications. The invoice must be paid in full before you join the seminar. Please fax (or mail) your application to: Lilian Tsertou Executive Education Administrative Director ALBA (The Athens Laboratory of Business Administration) Athinas Ave. & Areos 2A, Vouliagmeni Athens, Greece Tel.: (30 1) Fax: (30 1) exed@alba.edu.gr Payment Terms Full Fee: Drs ALBA Corporate Members: Drs ALBA Alumni: Drs A sum of Drs should be deposited by June 16, Participation fee includes tuition, educational material and light meals. Deposits should be made to ALBA s Bank Account number at the ALPHA CREDIT BANK S.A. Volume discounts (not valid for ALBA Alumni): - For more than 2 participants, 10% discount per participant - For more than 4 participants, 20% discount per participant APPLICATION DEADLINE DATE: JUNE 16, 2000 Cancellation Policy To avoid any cancellation fee, we must receive your cancellation, in writing, no less than 5 days before the seminar. A 20% cancellation fee will be charged. 50% of the fee will be retained if you cancel less than three days before the seminar, or do not attend the course.

4 Professor Mark Rubinstein Mark Rubinstein is the Paul Stephens Professor of Applied Investment Analysis at the Haas School of Business at the University of California at Berkeley. He is a graduate of Harvard University, Stanford University and the University of California at Los Angeles. Professor Rubinstein is renowned for his work on the binomial option pricing model (also known as the Cox- Ross-Rubinstein model). His publications include the book Options Markets, Derivatives: A PowerPlus Picture Book, as well as more than 50 publications in leading finance and economic journals. He is currently an associate editor of ten journals in these areas. He has won numerous prizes and awards for his research and writing on derivatives including International Financial Engineer of the Year for In 1993, he served as President of the American Finance Association. Created in 1992 with funds supplied by the European Union and Greek corporations, ALBA is a not-for-profit Association of 37 corporations, operating under the auspices of the Federation of Greek Industries (ΣΕΒ), the Hellenic Management Association (ΕΕ Ε), and the Athens Chamber of Commerce and Industry (ΕΒΕΑ). Its mission is to provide a rigorous postgraduate business education of the highest international academic standards, as well as to bring business organizations in close contact with Greek and foreign specialists in all scientific disciplines pertaining to business. ATHINAS AVE & AREOS 2A, VOULIAGMENI, ATHENS - GREECE TEL: (30 1) FAX: (430 1)

5 General Information Family name Executive Education Application Form Dr/Mr/Ms First name Male/Female Date of birth Nationality Private address Postcode City/Country Tel. Fax Company Information Job title Company name Company industry/field of activity Your business unit only: Number of employees Parent company Parent company: Number of employees Your business address Postcode City/Country address Tel. Fax How many people report to you: directly indirectly Personal Details Employment history (last two positions only): dates and positions held How did you hear about this seminar? Application signature I hereby accept ALBA s cancellation policy as described in the seminar brochure Date Billing Information Invoice to be sent to Please fax (or mail) to: Lilian Tsertou Executive Education Administrative Director ALBA (The Athens Laboratory of Business Administration) Athinas Ave. & Areos 2A, Vouliagmeni Athens, Greece Tel.: (30 1) Fax: (30 1) exed@alba.edu.gr Επωνυµία Εταιρείας:. Επάγγελµα:. ΑΦΜ:. ΟΥ:..... ιεύθυνση:..