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Advanced Equity Derivatives (Part 2)

Watch the above video for the Workshop Introduction. An additional five minute sample of this workshop is available here.

Video Lectures
Volatility dynamics: (Running Time: 1:22:19)

Equity / credit hybrid models (Running Time: 1:38:21)

Equity / rates hybrid models: (Running Time: 1:23:04)

Multi asset models (Running Time: 1:40:32)

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Advanced Equity Derivatives (Part 2)

Presenter: Oliver Brockhaus, MathFinance AG

Volatility dynamics

  • Forward versus spot volatility
  • Understanding vol of vol
  • A forward skew propagation model
  • Case study: pricing and risk management of a cliquet product: Napoleon

Equity / credit hybrid models

  • Defaultable equity versus counterparty credit risk
  • Structural credit models
  • Local and stochastic hazard rate
  • Funding, collateral and derivatives pricing
  • Case study: CVA for equity derivatives with wrong way risk

Equity / rates hybrid models

  • Local volatility and stochastic interest rates
  • Stochastic volatility and stochastic interest rates
  • Case study: autocallable
  • Case study: variance swap

Multi asset models

  • Correlation: implied, local and stochastic correlation
  • FX: quanto and composite options with smile


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Monte Carlo

Published date

9 April 2014



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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