It’s been my pleasure to give an introductory presentation/course on options and volatility to a select group of students at Queen’s University.

Download the slide deck here.

Main discussion points:

  • The basics: forward pricing theory, quanto vs. local forwards
  • Alternatives to the Black-Scholes model
  • Skew and term structure
  • Put-Call Parity
  • Sensitivities (“Greeks”)
  • The GME gamma squeeze
  • Correlation & basket options

The key to learning is asking the right questions (and, in return, receiving useful answers). I hope you’ll learn something when you think about some of the questions in this presentation – it seems the students at Queen’s University did.