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Day 1: Equity Derivatives Modelling in 2010 |  |
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Presenters:
Oliver Brockhaus: Head of Equity Financial Engineering, Commerzbank Corporates & Markets
Alexander Giese: Co-Head of Financial Engineering Equities, Commodities and Funds, HypoVereinsbank UniCredit Markets & Investment Banking
Stochastic Volatility
- Survey of important models: properties / advantages / disadvantages
- Understanding forward skew and convexity
- Calibration and hedging
- Using stochastic volatility models in practice
Stochastic Local Volatility Models
- Parametric versus Non-Parametric
- Markovian projection
- PDE approaches
Dividends
- Cash and proportional dividends
- Blend models
- Dividend discount models
- Futures and options on dividends
Correlation Models
- Implied correlation skew
- Local correlation
- Stochastic correlation
- Case Study: Rainbows
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Day 1: Equity Derivatives Modelling in 2010 | Day 2: Equity Derivatives Modelling in 2010 | Details: | download pdf
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Day 2: Equity Derivatives Modelling in 2010 | |
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Presenters:
Oliver Brockhaus: Head of Equity Financial Engineering, Commerzbank Corporates & Markets
Alexander Giese: Co-Head of Financial Engineering Equities, Commodities and Funds Bayerische Hypo- und Vereinsbank AG UniCredit Markets & Investment Banking
Variance & Volatility Products
- Variance swaps
- Volatility swaps
- Vol target options
Risk Management
- Value at risk
- Measuring model risk
- Static hedging
Equity / Credit Models
- Local hazard rate
- Stochastic hazard rate
- Equity / Credit correlation
- Equity linked notes with issuer risk
- Impact of collateral agreements on derivatives pricing
Equity & Rates Hybrid Models
- Local volatility and stochastic interest rates
- Stochastic volatility and stochastic interest rates
- Case Study: Auto callable options
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Day 1: Equity Derivatives Modelling in 2010 | Day 2: Equity Derivatives Modelling in 2010 | Details: | download pdf
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Details: | |
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Location:
The Marylebone Hotel
47 Welbeck Street
London W1G 8DN
Hotel Website
Flight details:
All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.
Complimentary inbound transfer service:
WBS Training now extend our premium service to all our clients. This includes a complimentary inbound transfer from London airports to central London hotels for all workshops. If you require this service simply inform us up to 2 working days prior to your arrival (flight number, arrival time, airport and hotel destination) and we will arrange a complimentary pick up. You will be given a phone number to call on arrival and will be greeted at the airport by our partner taxi company.
Sponsorship:
World Business strategies Ltd, offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 674400
Disclaimer:
World business strategies command the rights to cancel or alter any part of this programme.
Cancellation:
By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.
Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.
Day 1: Equity Derivatives Modelling in 2010 | Day 2: Equity Derivatives Modelling in 2010 | Details: | download pdf