A Trader’s guide to Equity Derivatives
To provide a practical introduction to equity
derivative products, including pricing, hedging and structuring equity
derivatives. This courses covers both exchange traded and over the counter
equity derivatives in addition to equity derivative securities such as
warrants and convertible bonds. It covers structuring and hedging
considerations from both buyer and seller perspectives.
Will learn:
·
Special features of equity underlying
·
Equity derivative structures designed to optimise risk /
return profiles for both issuer and purchaser
·
Structuring, pricing and hedging of equity derivatives
·
Over the counter and structured securities
Audience:
market professionals with at least 1-year experience (some basic
understanding of markets/products helpful)
·
Traders, sales, support, Internal Audit
·
Fund managers
·
Risk management
1.
Overview: consideration of the big picture and objectives of
securities and derivatives valuation and risk management and the framework
for spot and forward instruments and the concept of arbitrage valuation.
2.
Non-Contingent Equity Derivatives Basics: introduction to
traditional equity derivatives including forward, futures, swaps, index
arbitrage and many others.
This section also includes valuation and risk management
incorporating standard position keeping methods as well as VaR based
approaches.
3.
Contingent Equity Derivatives: introduction to options based
equity derivatives.
This section also includes valuation under uncertainty and the
applications to finance expressed in clear down-to-earth terms and
including a review of statistical and probabilistic concepts, culminating
with a clear understanding of the fundamentals of pricing models and
worked examples with Monte Carlo and Tree techniques.
Also included is a comprehensive consideration of Risk Neutral
(Black-Scholes) Option Pricing case explained in detail (where it comes
from and what it means, how Black-Scholes can FAIL for risk management.
4.
Market Convention Methods for Options Hedging: Sensitivity
and the "Greeks", Black-Scholes Greeks, Sample “Bucket”
Report, Dynamic vs. Static Hedges and Sensitivity vs. Profile Hedges
(Delta hedging, Pyramid Hedging, Static Profile Matching, Dynamic Profile
Matching, Rules of Thumb for Dynamic/Static vs. Sensitivity/Profile)
5.
Volatility Basics: Characterising Volatility, Implied
Volatility, Volatility Skew, Term structure of volatility, Advanced
volatility concepts (forecasting volatility, a glimpse at cheap/dear
analyses, implied distributions), Some real world effects, Correlation and
Covariance.
6.
Complex Options and
Structured Equity Derivatives: qualitative review of each of the
"usual suspects": Asian, Digital, Barrier, Lookback, Chooser,
Compound, Spread, Quanto, etc as well examination of structured (e.g.
convertible bond) products.
7.
Portfolio
Simulation:
introduction to simulation techniques for assessing trading strategies of
a position/portfolio over a holding period, case study of a vanilla call
option position hedging strategy analyses including both back-testing and
forward-testing.
710
Pages of
comprehensive and extensively illustrated Handout Notes (see samples
here)
Plus copies of relevant TG2 Books/e-Books
Note:
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"
list HERE)
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