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Equity Modelling: Advanced Equity Derivatives (Part 2)


Advanced Equity Derivatives (Part 2)

Presenter: Oliver Brockhaus, MathFinance AG

Course Running Time: 6 Hours 

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


Credit Risk

Published date

4 June 2018



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).