Equity Derivatives Pricing

This two-day course will enable delegates to understand all aspects of equity derivatives including the fundamentals of pricing theory, pricing models, and the implementation of models in pricing and hedging. Particular focus is given to some of the more difficult practicalities such as model fall down, early exercise issues and stock borrow. The structures and pricing of more exotic equity options are also explained. Practical individual and team exercises are performed throughout the course and PCs are provided.

TBC

Duration: Two days (9.00am to 5.00pm)
Location: Apex City of London Hotel – London, UK
Trainer: Simon Moore
Course fee: £1990 + VAT – Register online

DAY 1

Risk-Free Arbitrage

+ Present value of money
+ Valuation of derivatives in a risk-free world
+ Equity forwards
+ Equity futures

Vanilla Stock Options

+ Description of options
+ Behaviour dynamics and characteristics
+ Pricing and assumptions
+ Summary of model types
+ American vs. European
+ Early exercise
+ Warrants
+ Pricing in the real world

Hedging Vanilla Options

+ Delta
+ The other greeks - gamma, vega, theta and rho
+ Put call parity
+ Hedging in the real world
+ Stock borrow
+ Why the models don't always work - LTCM

Volatility

+ Realised volatility
+ Implied volatility
+ Smiles and skew
+ Term structure
+ Volatility in the real world

DAY 2

Option Strategies

+ Leverage
+ Premium generation
+ Downside protection
+ Collars
+ Spreads
+ Combination

Exotic Options

+ Barrier options
+ Forward start options
+ Binary options
+ Asian options
+ Basket options
+ Variance swaps
+ Dividend swaps
+ Correlation swaps
+ And more…

Cross-Currency Options

+ Composite option pricing
+ Hedging composite options
+ Quanto option pricing
+ Hedging quanto options

In-Depth Volatility and Hedging

+ Volatility prediction - GARCH
+ Which volatility to hedge at?
+ Sticky strike versus sticky delta
+ Hedging vega and rho
+ Beyond Black-Scholes - jump diffusion, local volatility and stochastic volatility
+ Black swans