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Advanced Equity Derivatives (Part 1)

 
00:00
Improved Pricing Structure for The New Financial Year 2015/16: All Video Workshops £99.00

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)


Watch the above video for the Workshop Introduction. An additional sample of this workshop is available here.
 
Each Quants Hub Workshop package includes the full day recorded video that when purchased will be stored in the "My Library" section of your members area to be viewed indefinitely. You will also receive the workshop slides and other related material if applicable. 
 

Advanced Equity Derivatives (Part 1)

Presenter: Oliver Brockhaus, MathFinance AG

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

Topic

Monte Carlo

Published date

9 April 2014

Price

£99.00

Presenter Bio

Oliver Brockhaus

Oliver Brockhaus joined MathFinance AG in 2012 focusing on training and consulting in the areas equity derivatives and credit risk. Past roles include Head of European Equity Quantitative Research at Royal Bank of Scotland (2010-2012), Head of Equity Financial Engineering at Commerzbank (2005-2010) as well as Senior Quantitative Researcher at JP Morgan (2000-2003) and Deutsche Bank (1996-2000). His interests include stochastic volatility, correlation and dividends as well as hybrid models. Oliver holds a doctorate in mathematics from University of Bonn as well as a DEA in Applied Probability from University P. et M. Curie in Paris. He is Visiting Senior Fellow at London School of Economics and co author of RISK books "Modelling and Hedging Equity Derivatives" (1999) and "Equity Derivatives and Market Risk Models" (2000).

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