Mastering Equity Derivatives Training Course
Course Highlights and Agenda
This course has been designed to equip delegates with a superb practical knowledge of structuring, pricing and hedging equity derivatives. Taught by a highly experienced trader and structurer of equity derivatives, the course marries practical examples with the necessary theory and workshops based on real-world products.
It covers the wide range of derivatives from exchange-traded to over-the-counter and includes securitised equity derivatives and bespoke products such as CPPI (Constant Proportion Portfolio Insurance) and fund derivatives. Many hands-on examples are used and the delegates are encouraged to "get stuck in" with the practical workshops.
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Introduction: What are Equity Derivatives?
- Broad range of products from simple exchanged traded to complex bespoke OTC, structured products and securities such as convertible bonds
- Equity derivatives on single equities, baskets of equity and indices
- Why are equity derivatives used?
- Who are the major users of equity derivatives?
- Impact of the credit crunch on equity derivatives
Equity Forwards, Futures and Swaps
- Structure of the basic "delta equals one" contracts
- The exchange-traded and OTC markets
- Credit implications including ISDA documentation and the credit support annex
- Use for risk transfer (hedging), leverage and dividend optimisation
- Review of pricing considerations – cost of carry, forward prices, stock lending and the impact of taxes
- Pricing and risk characteristics
Case Study: Pricing an equity swap
- Structure of option contracts
- Vanilla and exotic options
- The exchange and OTC markets
- Use of equity options for risk transfer, leverage and arbitrage
- Pricing equity options – Black-Scholes model and its limitations
- The roles of volatility – historic and implied, smile and skew
Equity Option Pricing and Risk
- Review of basic arbitrage pricing model
- The binomial model
- Input to the model
- Outputs from the model
- The risk sensitivities or Greeks
- Simple delta hedging
Workshop: Hedging an equity option
Equity Structured Products for Retail Customers
- The market for structured products
- Equity derivatives as securities
- Equity warrants
- Benchmark units – Opals,Webs, ETFs
- Capital guaranteed products – GEBs, cliquets…
- Analysing the structure of products
- Defining participation and floor values
- Customising structures - examples
Case Study: Pricing a guaranteed equity bond (GEB)
Workshop: Structuring capital guaranteed equity products
Using Equity Derivatives To Provide Solutions for Fund Managers / Hedge Funds / Insurance Companies
- What kind of issues do fund managers face?
- How can equity derivatives assist them?
- Customising exposure / risk management / hedging
- Tracking indices / benchmarking
- Enhancing dividend flows
- Protecting returns
- Yield enhancement
Case Study: Using equity derivatives for asset allocation
More Exotic Equity Derivatives and their Uses
- What does exotic really mean?
- Why use exotics?
- Path dependents – Barriers / knock-outs / knockins / corridors / ladders
- Currency protected
- Quantos / compos
- Multi asset
- Fund derivatives
- Volatility swaps
Case Study: Pricing a quanto option
Summary session with Q&A
What You Will Learn
"The course gave a greater understanding of product types and trading strategies."
"The contents & delivery were fantastic."
"The content & the sessions were very good, especially the Structured Equity Products session for my particular job. The course was better & more interesting than other courses I have attended"