Joe Wayne Byers

Formerly Assistant Applied Professor of Finance

Pricing and Managing Derivatives

 Course: Categories, Topic, and Subtopics

 Exotic Options

Reference: (Zhang, Pilipovic, Simkins, and Taleb)

1. Forward Start Options and Clique Options: 
   1. Applications to Energy Markets and Executive Compensation
   2. Sensitivity calculations and their behavior
2. Vanilla Barrier Options
   1. Application to Weather Derivatives
   2. Sensitivity calculations and their behavior
3. Switching (tolling) options: Financial and Real Aspects
4. Swing Options: pricing and sensitivities 

Risk Management

References: (Jorion, Risk Metrics, Wilmott, and articles)

1. Hedging Effectiveness under FASB 133
2. Survey of credit risk with applications to energy markets
3. Capital Allocation using RAROC, Incremental VAR (Riskmetrics, Component VAR Jorion)
4. Sarbaines Oxley as it applies to Corporate Risk Management
5. Cash Flow @ Risk
   1. Special emphasis on liquidity and margin components
6. Value at Risk systems

 Special Topics

Reference: (Pilipovic, Wilmott, Dunis, etal)

1. Univariate estimation of multi-variate price processes with applications to energy.
2. Cointegration as a hedging tool
3. Cointegration in option pricing
   1. Applications to spread option pricing
4. Applied Volatility and Correlation modeling
   1. Special emphasis on GARCH GJR models and Negative Exponential Distributions
5. Seasonality modeling of Energy Prices
6. Convenience yield in energy commodities
7. Volatility and Correlation of Energy Forward Prices
8. Higher moment greeks for vanilla options (Ddeltadvol and dgammadS)
9. Shadow gamma and gamma/bleed with emphasis on risk management
10. Discrete hedging in energy markets
11. Model Risk