Risk Latte - Convertible Bonds Pricing and Trading

Equity Derivatives Products & Pricing

This is a detailed programme on modeling, structuring and pricing vanilla and exotic equity derivatives products and managing the risks in equity derivatives portfolios. This programme goes into great detail of option pricing and modeling embedded optionality in products as well as mathematical modeling of exotic equity derivatives structures. This programme is aimed at equity derivatives traders and structurers in banks and hedge funds.

COURSE OUTLINE

PART I : Math Models

  • Monte Carlo Simulation techniques (in detail);
  • Principal Components Analysis (Eigensystem, etc.);
  • Black-Scholes Model and parametric framework for Contingent Claims Analysis;
  • Numerical Techniques (Numerical Integrals, Binomial & Trinomial Trees, etc.);
  • Matrix Algebra and Linear Transformation.

PART II : Volatility & Correlation

  • Historical Volatility calculation;
  • Parkinson's Number, EWMA (Kalman Filter), GARCH and Variance Ratios;
  • Implied Volatility and Implied Correlation;
  • Correlation Analysis.

PART III : Options - Pricing, Modelling and Trading

  • Binary (Digital) options;
  • Barrier options;
  • Basket, Rainbow, Lookback and Asian options;
  • Ladder and Chooser options;
  • Call and Put spreads and trading strategies using spreads and butterflies;
  • First order volatility trades using straddles and strangles;
  • Skew trading, volatility surfaces and higher order volatility trades.

(All pricing is done using Monte Carlo simulation, Binomial trees and parametric methods)

PART IV : Portfolio Insurance

  • Creating Synthetic Puts;
  • Portfolio Insurance using synthetic puts;
  • Portfolio Insurance and Asset allocation strategy.

PART V : Equity Swaps Pricing & Trading

  • Equity Swap and Equity Swap portfolios;
  • Equity Default Swap.

PART VI : Equity Derivatives Special Features

  • Index Linked Cash Flows;
    1. Fixed Cash flows and digitals;
    2. Vanilla Indexed Cash Flows, Ratios & Products, etc.;
    3. Vanilla Returns, Basket Returns, Basket as Ref Index;
    4. Average Returns and Basket Average Returns;
    5. Basket and spreads;
    6. Vanilla Extrema, Stepwise Extrema, Ladders;
    7. Piecewise Linear Cash Flows and Cliquets.

  • Pricing & Hedging:
    1. Expected hedging costs in a B-S environment (and a short cut for expected hedging costs);
    2. Jumps & Discrete Trading;
    3. Transaction Costs.

  • Leveraged Buying and Short Selling;
  • Yield Enhancement;
  • Reducing the risk of writing calls and using Collars;
  • Quanto Risk and FX locks.

PART VII : Reducing the Cost of Buying Options

  • Changing the Contract parameters;
  • Changing the Reference Index;
  • Piecewise Linear Segmentation - Revisited;
  • Knock-in and Knock-out options;
  • Pay Later and Money back options;
  • Installment Options and Callable Options;
  • Asian Options and Revised Monitoring for path-dependent Options.

PART VIII : Products

  • Structuring equity-linked bull notes;
  • Vanilla bull notes and Capped bull notes;
  • Capped bull notes with knock-outs and knock-ins;
  • Principal Protected Bull notes;
  • Indexed Linked Notes;
  • Raising the Participation Rate:
    1. Changing the note parameters and the ref index;
    2. Piecewise Linear Segmentation of the Protection and of the Upside;
    3. Floating Caps and Knock-In and Knock-Out protection;
    4. Knock-In and Knock-Out upside;
    5. Asian Tail.

  • Principal Protected Lookback and Ladder Bull Notes;
  • Principal Protected Cliquet Bull notes;
  • Principal protected Bear notes;
  • Principal protected Chooser Notes and Neutral Notes;
  • Principal Protected Range Accrual Notes and knock-out Range Accrual Notes;
  • Digital and Coupon bearing notes:
    1. Digital Principal protected bull notes;
    2. Digital Principal protected cliquet bull notes;
    3. Bivariate digital notes;
    4. Digital Range Accrual Notes.

  • Equity Linked Savings.

PART IX : Risk Management

  • Monte Carlo simulation to analyze factor risk;
  • Volatility Duration analysis;
  • Value at Risk (VaR) of portfolios (analysis using MC simulation and parametric methods);
  • Delta-gamma VaR and Vega VaR of derivatives portfolio.

To apply for the above course please write to info@risklatte.com . You can also write to us at Risk Latte Company , Level 2, Neich Tower, No.128, Gloucester Road, Wan Chi, Hong Kong or you can call us on +852 3987 8552 or +852 6395 8032.

All Candidates will be awarded a Certificate of Participation by Risk Latte Company.


Any comments and queries can be sent through our web-based form.

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