Pricing and Modelling Equity Derivatives and Structured Products

In-house

An intensive two-day course exploring current industry best practice in equity derivatives and structured products pricing, modelling and trading techniques. It's an intermediate level course for analysts building trading systems, structurers and traders wanting to gain effective tools to optimise derivatives structures and understand pricing strategies.

Main topics covered during this training

• In depth analysis of structuring and trading strategies
• Overview of market products from exchange traded options, structured products, volatility derivatives, basket and correlation products to vanilla options and exotic products
• Different models including local volatility, jump, Heston and regime switching
• Numerical methods and calibration methodologies including CEV, Heston, VG, Monte Carlo and BLAS Level 2 and 3
• Pricing and volatility correlation
• Exotic volatility derivatives, long dated structured products and correlation products such as basket of derivatives, quanto options and IR hybrids will be discussed in detail

Course level: Intermediate

Course Description

Economically meaningful models for derivatives are useful both for trading and structuring complex derivatives and for consistent risk management of exotic equity derivatives books. This course is aimed primarily at analysts building trading systems for equity derivatives and structured products as it focuses on implementation issues and provides worked-out code examples. It is also aimed at structurers and traders interested in the emerging class of regime-switching semi-parametric models which afford the user much flexibility in model specification.

The processes for stock prices, volatility and correlation can be modelled realistically to reflect the features of historical time series and capture traders' views at the condition that one can manage the calibration procedure and have very fast and precise pricing engines. This has now become possible on current mass-produced hardware involving multi-core CPUs, substantial physical memory and graphic card accelerators to be used as math coprocessors.

The course reviews market products, structuring and trading strategies. Calibration methodologies and model design issues are explained. A number of exotic volatility derivatives, long dated structured products and correlation products such as basket derivatives, quanto options and interest rate hybrids are discussed in detail.

What will you learn by the end of this course?

• Examine design strategies for realistic and economically meaningful derivative models
• Understand calibration strategies and pricing techniques for efficient valuation
• Review strategies for system design and data processing
• Understand the structuring and arbitrage implications of economic modelling
• Develop working knowledge of computational platforms

Teaching method

This is a highly practical course with many PC-based exercises that will help you to immediately apply theory into practice.

You will also benefit from comprehensive take-away course documentation

In order to help us establish your individual and business concerns, you will be asked to fill a pre-course questionnaire

Because of the nature of the course the number of places is limited and will be filled on fist come, first accepted basis. We advise to book in advance in order to avoid disappointment.

Who should attend?

From Financial Institutions, Investment Banks, Hedge Funds and Pension Funds, Consultancy Groups and Solution Providers Heads, Managers, Advisors and Market Players in:

• Trading: Structured Products and Exotic Derivatives
• Trading and Markets: Equity, Fixed Income and Currencies
• Portfolio Management and Strategy
• Quantitative Analysis and Research
• Derivatives Research
• Structuring
• Risk Management, Risk Analysis and Control
• Data Monitoring and Data Processing

Your Expert Trainer

Claudio Albanese, Independent Consultant

Claudio Albanese currently works as independent consultant. His academic background includes a PhD in Physics from ETH Zurich and a number of academic positions up to the rank of full professor at several universities including NYU, Princeton, University of Toronto and Imperial College London. Claudio worked as consultant and trained at several investment banks and hedge funds including Misubishi Securities, Merrill Lynch, Bloomberg, CDC-Naxis, Carador, Shinsei, ABN Amro, BBVA, ZKB and others.

Claudio's main focus is in building engineering frameworks for derivative pricingwhich are flexible enough to accomodate regime switching models. These engines are very efficient and accurate, especially if implemented by leveraging on GPU technology.