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 firstname.lastname@example.org . 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.
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