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
- VIX, VSTOXX
- 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.