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Description

Vanilla Options: Pricing, Measuring the Greeks and Hedging Risk

Price a call or a put and track its Greeks through to hedging the portfolio

  • 2 days — 14 h
  • In-person or virtual
  • Intermediate
  • Up to 6 participants

A vanilla option stays simple as long as it remains on paper. As soon as it enters the book, the price moves with the underlying, with implied volatility and with the passage of time. Differences between model and market become hard to explain, and the hedge that was put in place loses its effectiveness without the cause being clearly identified.

A short format built around the price - sensitivities - hedging triangle. You revisit the pricing logic of a call and a put. You measure the Greeks and interpret how they evolve. You build a delta hedge and then observe what remains as residual risk.

Learning objectives

  • Break down the payoff of a call and a put at maturity
  • Identify the parameters that feed into valuation
  • Calculate and interpret the main Greeks
  • Build a delta hedge and measure its limitations
  • Analyse the effect of implied volatility on price

What makes this programme different

Every concept is verified on a pricing workbook built step by step
The Greeks are observed through market scenarios replayed during the session
Monitoring a hedged position runs as a common thread from start to finish

Programme

1Pricing a vanilla option

From payoff to price

  • Break down the payoff of a call and a put
  • Identify the market parameters that feed into the price
  • Distinguish intrinsic value from time value
  • Position the assumptions behind the reference model

2Greeks and sensitivities

Reading risk before it materialises

  • Measure delta, gamma, vega, theta and rho
  • Interpret the sign and order of magnitude of each Greek
  • Link the Greeks to the position held
  • Observe how they distort near the money and near maturity

3Hedging and residual risk

From the model to the actual position

  • Set up a delta hedge
  • Adjust the hedge as the market moves
  • Identify the remaining gamma and volatility risk
  • Document the gaps between expected and observed results

Who is it for

Market operators · risk analysts · portfolio managers and IT specialists working on pricing tools.

Prerequisites

A working knowledge of financial market fundamentals and basic probability theory.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.