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Equity Modelling: Advanced Equity Derivatives (Part 1)

 
00:00

Advanced Equity Derivatives (Part 1)

Presenter: Oliver Brockhaus, MathFinance AG

Course Running Time: 6 Hours 


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

Topic

Monte Carlo

Published date

4 June 2018

Price

£99.00

Presenter Bio

Oliver Brockhaus

Oliver Brockhaus currently develops embedded software for appliances used in the pharmaceutical industry. Past roles include Senior Vice President at MathFinance AG (2012-2016), 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 author of "Equity Derivatives and Hybrids" (Palgrave, 2016) and co author of "Modelling and Hedging Equity Derivatives" (RISK, 1999) and "Equity Derivatives and Market Risk Models" (RISK, 2000).

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