**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