Advanced Equity Derivatives (Part 2) by Oliver Brockhaus

Advanced Equity Derivatives (Part 2)

Presenter: Oliver Brockhaus, MathFinance AG

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)

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