EQUITY DERIVATIVES:
Valuation and Management

 

"An excellent course - plenty of useful examples and an engaging teacher."

James Davies - Developer
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Course Outline

Equity derivatives have been growing in importance over a number of years and are now well established in the financial marketplace. This seminar is for anyone who wishes to be able to price, use, manage or evaluate equity derivatives and exotic equity options. More than half of the seminar is devoted to practical small group sessions.  

Who The Course is For

Anyone who wishes to be able to price, use, manage, or evaluate equity derivatives and exotic equity options.

Past participants have included: Traders, Loan Officers, Risk Managers, Fixed Income Professionals & Sales People, Fund Managers, Investors, Middle Office Managers, Senior Managers, Quantitative Analysts, Structured Products Desks, Researchers, Financial Engineers, Compliance Staff, Auditors, Dealing Room Staff, Systems Developers, Product Controllers, Loan Portfolio Managers, Credit Analysis, Credit Risk Managers

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Prior Knowledge

A basic understanding of the cash equity markets and the fundamentals of the time value of money is assumed. A minimal level of Excel experience, while not necessary will be useful.

This program is eligible for 24 Continuing Education credit hours from the CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.

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Day One

Overview of the Market and Structures

• Historical development of the market
• Overview of the types of equity derivatives
• Current market dynamics

Stock Index Futures and Equity Swaps

• How indices are built
• Fair value for futures
• Mechanics of trading
• Hedging and investment strategies with index futures
• Hedging ratios
• Structure of equity swaps and their market
• Valuation benchmarks and techniques

Stock Options

• Product introduction
• Definitions and market conventions
• The importance of volatility
• Hedging and investment strategies with stock options

Workshops:

• Hedging with Futures, Swaps and Options
• Investing with Futures, Swaps and Options
• Comparison Strategies

Day Two

The Mechanics of Valuing and Hedging Stock Options

• Option pricing and valuation
• Binomial and Black-Scholes models
• Hedging factors
• Profitability utilising the Greeks
• Dividends and option valuation
• Portfolio considerations

Combining Options with Bonds

• Cashflow valuation
• Embedded options
• Separating the parts
• Yield enhanced notes
• Guaranteed performance structures

Workshops:

• Comparison of Valuation Models
• Hedging an Option Position
• Creating Structured Notes

Day Three

Warrants and Bonds with Embedded Options

• Structure and definitions
• Varieties of warrant and their markets
• Valuation and hedging
• The effect of dilution
• Transaction costs

Convertible Bonds

• Structure and definitions
• Traditional and option valuation techniques
• The importance of put and call features
• Using convertibles
• The investor's view
• The issuer's view

Equity Default Swaps

• Structure and definitions
• Market mechanics
• Using as a hedging and investment strategy
• Valuation issues

What's Current and Coming

• Evaluating the current market dynamics
• A prospective look into the future
• Review of key themes

Workshops:

• Convertible Bonds
• Engineering an Equity Derivative Product