OPTIONS:
PRICING AND APPLICATIONS
Modern Developments in Theory and Practice
conducted by
Mark Rubinstein
Paul Stephens Professor of Applied Investment Analysis
Haas School of Business, University of California at Berkeley
June 27-28, 2000 15:00 – 21:00
DIVANI APOLLON PALACE
10, Agiou Nickolaou & Heliou Str., Kavouri VOULIAGMENI
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 withresponsibility 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 optionsPlease 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•
ReplicationBinomial Option Pricing Model
•
Introduction•
Single Model•
Multi-Period Model•
Hedging•
Extensions Black-Scholes Formula•
Devivation•
Hedging•
Extensions Volatility•
Realized•
ImpliedAdmittance 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, 166 71 Vouliagmeni
Athens, Greece Tel.: (30 1) 89 64 531-8 Fax: (30 1) 89 64 737 E-mail: [email protected]
Payment Terms
Full Fee: 500.000 DrsALBA Corporate Members: 400.000 Drs ALBA Alumni: 360.000 Drs
A sum of 100.000 Drs should be deposited by June 16, 2000. Participation fee includes tuition, educational material and light meals.
• Deposits should be made to ALBA’s Bank Account number 014-101-00-2002-019187 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.
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 1995. 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, 166 71 VOULIAGMENI, ATHENS - GREECE TEL: (30 1) 8964531-8 FAX: (430 1) 8964737
Executive Education Application Form
General Information
Family name
Dr/Mr/MsFirst name
Male/Female
Date of birth NationalityPrivate address
PostcodeCity/Country
Tel. FaxCompany Information
Job title
Company name
Company industry/field of activity
Your business unit only:
Number of employeesParent company
Parent company:
Number of employeesYour business address
Postcode City/Country
E-mail address
Tel. FaxHow 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
DateI hereby accept ALBA’s cancellation policy as described in the seminar brochure
Please fax (or mail) to: Lilian Tsertou
Executive Education Administrative Director ALBA (The Athens Laboratory of Business Administration)
Athinas Ave. & Areos 2A, 166 71 Vouliagmeni Athens, Greece
Tel.: (30 1) 89 64 531-8 Fax: (30 1) 89 64 737 E-mail: [email protected]
Billing Information Invoice to be sent to…
ΕπωνυµίαΕταιρείας: ……… ………. Επάγγελµα: ………. ΑΦΜ: ………. ∆ΟΥ: ………..………... ∆ιεύθυνση: ………..
