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