**Advanced Equity Derivatives (Part 1)**

**Presenter: Oliver Brockhaus, MathFinance AG**

**Video Lectures:**

**Equity Basics & Dividends: (Running Time: 1:33:09)**

**Volatility Models (Running Time: 1:35:56)**

**Volatility Models & Hedging: (Running Time: 1:46:38)**

**Equity Derivatives Products (Running Time: 1:04:48)**

**Summary:**

Equity basics

- Dynamics: empirical evidence
- Dividends: model survey, affine dividends, adjusted volatility
- Implied volatility: parameterizations, arbitrage conditions

Volatility models

- Local volatility
- Stochastic volatility: survey, calibration, simulation techniques
- Local stochastic volatility: parametric local volatility, Markovian projection
- Jump diffusion
- Case study: barrier option

Equity dynamics and hedging

- Hedging and incomplete markets
- Marking to market with smile models

Implied distribution

- Quantile maps
- Arbitrage removal
- Copula models

Pricing and risk managing equity derivatives products

- Certificates: Vanilla, basket, Asian, barrier, Autocallable
- Strategies: CPPI, Volatility Target, Autopilot, Timer
- Dividend swaps and options
- Volatility products: volatility swaps, variance options, Vix futures and options, correlation swaps