The purpose of this workshop is to give the participants a thorough understanding of and hands-on, practical experience with the valuation of futures and options. First, we explain how futures are priced, using the "basic" Cost-of-Carry model as well as more advanced versions of this model that take into account the role of the delivery option, margin payments and other special features. We also demonstrate in detail how the "Cheapest-to-Deliver" (CTD) bond for delivery against bond futures can be properly identified, and, using arbitrage arguments, we explain the links between the delivery option, volatility and the "basis". We then look at a number of models and techniques for pricing options. We start with the basic Black-Scholes model, but participants will also work with derivations of this model, including the Black 76 model for options on forwards, the Garman-Kohlhagen model for currency options, and the Margrabe model for exchange options. In each case, we show how the fair option value, the "Greeks", and the implied volatility are calculated. Further, we present, explain and demonstrate some numerical option pricing models, including the Cox-Ross-Rubinstein model for valuing American options and the BDT model for valuing interest rate options. Finally, we explain and demonstrate a Monte Carlo simulation approach to valuing more complex options structures, including path-dependent structures such as Barrier, Asian and Lookbacks.