To
ensure we meet your expectations and maximise your return on training
investment, we favour a classroom/workshop set up for the delivery of our
courses. Please note we have therefore limited number of spaces available and
these will be assigned on a first come, first accepted basis. We recommend
early booking to avoid disappointment.
Transform theory into reality through
a series of PC-based practical exercises
How will you benefit?
The aim of this course is to provide a sound description
of the fundamentals and building blocks of equity derivatives pricing theory,
how this theory is implemented into useful pricing models, and then how those
models should be used in the real world to price and hedge equity derivatives.
The particular focus is given to some of the more difficult practicalities of
model implementation and usage such as where the models fall down, early
exercise issues and stock borrow. Volatility, both realised and implied is
addressed as a subject in itself. Finally, the structures and pricing of more
exotic equity options are described and explored.
Practical individual and team exercises are performed
throughout the course in order to support the theory presented and to ensure
delegates can effectively benefit and implement the concepts discussed once
they return to their day-to day responsibilities.
Learn how
equity option pricing models work in the real world, with the assumptions
behind them
Discuss behaviour dynamics, characteristics and
pricing of the instruments
Cover greeks
when hedging vanilla options in practice and understand why models dont always
work
Explore
volatility: Realised and implied, smiles and its behaviour in the real world
Look at composite and quanto options pricing and
hedging
Gain insight
on exotic instruments: Barrier options, forward start options, binary options,
Asian options, basket options and variance swaps
About your expert trainer:
Simon Moore has over 13 years of investment banking experience in Europe, North America and Asia. His
primary focus has been on delivering pragmatic and usable quantitative solutions
to clients and traders in the equity derivatives and
alternative investment fields. Prior to founding Moore Quantitative
Solutions, Mr. Moore ran the US Structuring Desk for Commerzbank AG in New York. Prior to this, he was US Head of
Financial Engineering for Commerzbank, and before that, he ran a global
quantitative analysis team at ING Barings. He moved into the front office of
investment banking from an IT background (programming, business analysis and
project management). Simon has a BSc (Hons) in Mathematics and Computing from
the University of Bath and lectures on derivative theory
at the University of Manchester Business School.
Pre-course questionnaire:
A detailed questionnaire will be sent to all course participants to
establish exactly where the group training needs lie. The completed forms will
be analysed by the course leader/trainer and followed by telephone if further
clarification is required. As a result we can guarantee that the course is
pitched at exactly the right level and that the issues that you regard as
relevant are addressed. The course material will reflect these issues and will
enable you to digest the subject matter after the event in your own time.
Who should attend?
This seminar is designed for any practitioner directly or
indirectly involved in the equity derivatives environment, be that in pricing
and modelling or any role supporting this function and who wishes to extend
their knowledge of the elements that comprise the instruments in order to
improve their day-to-day work:
From Financial Services Institutions, Investment Banks,
Private Banks, Central Banks, Investment Houses, Regulators, Rating Agencies
and Legal Firms:
Derivatives
Equity Derivatives
Derivatives Trading, Pricing & Strategy
Structured Products
Middle Office
Fund & Asset Management
Structuring
Quantitative Analysis
Risk Management, Analysis & Control
Model Validation
Derivatives Product & Control
Sales & Portfolio Management
Data Monitoring & Analysis
IT
Support for Equity Derivatives & Models
