Risk Latte - Power Workshop on Equity Derivatives Modelling

Power Workshop on Equity Derivatives Modelling

The workshop shall contain the following discussion threads/model building:

  • Monte Carlo simulation of single asset random walk;
  • Monte Carlo simulation of multiple assets using Cholesky decomposition;
  • Engineering Equity structured notes for buy side customers - 2 case studies;
  • Pricing of vanilla equity notes (call, put optionality and bull and bear notes);
  • Estimation of Participation Rate of a Note;
  • Pricing of Rainbow and Asian Rainbow equity notes using Monte Carlo simulation;
  • Pricing of Cliquet equity notes and basket notes using Monte Carlo simulation;
  • Basket equity Notes and Correlation Vega;
  • Stressing Correlations and impact on IRR of the notes;
  • Volatility duration of notes and impact on risk profile.

The workshop shall be conducted entirely in Excel/VBA spreadsheet environment. All spreadsheets, models developed shall be given away to the trainees.

The workshop shall be held for 6 hours from 9 am-12 pm and 2pm-5 pm at our office at 9/F Somptueux Central | 52 - 54 Wellington Street | Central | Hong Kong.


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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