Risk Latte - Power Workshop on Equity Derivatives Modelling

Risk Latte Combo Training Programme

Risk Latte Combo Training allows you to choose from your area of expertise and your needs and interests and create a custom made training programme. It gives the basic quantitative skills required to develop binomial trees and multi-asset Monte Carlo simulation and then simply apply them to pricing and modelling different types and classes of products.

Combo 1 : Basic Module, Module 3 plus all three of the Groups in Module 2

Combo 2 : Basic Module, Module 3 plus any Two of the Groups in Module 2

Combo 3 : Basic Module, Module 3 plus any one of the Group in Module 2

  1. All study material via email and through special virtual training rooms on our web site www.risklatte.com;
  2. One face to face visit of maximum 10 hours by one of the instructors at the place of the trainee (only Asia and Europe) for combo 1 and combo 2 programmes.

Module 1 (Quantitative Model Building):

  • Monte Carlo simulation in Excel/VBA for single asset and multiple assets;
  • Plain vanilla calls and puts using Monte Carlo simulation;
  • Monte Carlo simulation for multiple asset payoff introduction (options, hybrids & structured products);
  • Binomial tree in Excel/VBA;
  • Basics of Black-Derman-Toy (BDT) Tree building;
  • Variations of Black-Scholes-Merton and Greeks.

Module 2 (Pricing & Trading of Products):

Notes

  1. For Group A - all pricing will be done using Monte Carlo simulation and/or BDT Tree methodology for Group A products; for Group B & C íV all pricing will be done using MC Simulation, Binomial (CRR tree), BSM-type models and Numerical Integration;
  2. All pricing will be on Excel/VBA spreadsheet;
  3. All options and optionality discussed in this module will be of European type.

Group A (IR and Fixed Income Structured Products)

  • Normal, Lognormal and BDT trees for valuing fixed income options;
  • Interest rate caps, floors, digital caps & floors;
  • Quanto caps & floors and LIBOR FRN class of notes;
  • Range accrual notes, ratchet notes, LIBOR Corridor notes, snowballs and snowblades, power notes;
  • Sticky FRNs, hybrids, correlation notes (multi-index baskets, multi-index barrier, best of, worst of notes, etc.);
  • Synthetic Bonds and credit-default products (CDS, CLNs, Basket CLNs, etc.);
  • Complex swaps (volatility & variance swap pricing), CMT swap and note, asset packaging etc;
  • IR Capital guaranteed notes.

Group B (Vanilla & Exotic FX options)

  • Vanilla FX options pricing using Garman-Kohlhagen model;
  • Vanilla, Digital and Barrier FX options (Knock-out, Knock-in, Reverse KO and KI);
  • Lookback, Asian, Rainbow, Chooser and Basket FX options;
  • Correlation, non-linear payoff options and hybrid FX options (Ladder, capped calls, etc.);
  • Calculation of Greeks (in MC simulation method and closed form);
  • Numerical Integration method to price options and hybrids;
  • Managing delta, gamma and vega of an FX options book;
  • Special cases of trading volatility and dynamic hedging of bet and barrier options;
  • Market making in FX options íV quantitative case.

Group C (Equity Derivatives)

  • Calculating the Participation rate of an equity structured (indexed) note;
  • Bull & Bear notes, principal protected notes and average notes;
  • Hybrid notes (best of, worst of, etc.) and Lookback notes, knock-out and knock-in notes;
  • Digital and coupon bearing notes;
  • Path dependent Money-Backs, Pay later, Forward start and Installment optionality in notes;
  • Raising the participation level and transaction costs of the notes;
  • Floating Caps, Rainbows and Asian tail;
  • Equity Linked savings;
  • Managing the delta, gamma and vega of equity options.

Module 3:

  • American option pricing using Binomial method;
  • Volatility and correlation estimation;
  • Case studies on the above modules and selected real life cases;
  • Formal introduction to VBA programming as applied to quantitative finance.

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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