Advanced Equity Derivatives (Part 1) by Oliver Brockhaus

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