Intermediate Equity Derivatives

In addition to your class tuition and study materials, you will receive the following:


Case Study

• Course case study

Exercises

• Course exercises

Other Extras

• Certificate of attendance

Level: Intermediate


Synopsis:
This course looks at the mathematics and application of equity derivatives. It will focus on some key examples and the relevant pricing and hedging issues involved.


At the end of the course participants will be able to: Know the instruments within the OTC market from a practical usage . Further their knowledge of more complex strategies involving vanilla options . Have a thorough understanding of the concept of volatility and option pricing .


Prerequisites:
Understanding Derivatives or equivalent


Suitable For:
Building from first principles we will avoid mathematic focus, leaving the course accessible to a wide range of delegates. Anyone who is exposed to equity derivatives or who is interested in learning about this important and growing product range within the global capital markets will benefit from attending this course.


Quantifying volatility

• Implied vs. historical volatility
• Standard deviation and the calculation of volatility from market data
• The effect of volatility on option pricing
• Using implied vol as value indicator

The nature of volatility

• Volatility smiles on their skews
• The term structure of volatility
• Trading skew and term structure
• Using directional views to enhance skew/term structure strategies

Vol and the Greeks

• Classic delta hedging
• Gamma - trading it and risking it
• Link between gamma, vol and theta

More option strategies

• Call spreads
• 1x2
• Risk reversal
• Turbos

OTC exotic options

• Basket options (including an understanding of correlation)
• Quanto with an FX dimension
• Best of/worst of
• Binary
• Digitals
• Barrier