EQUITY DERIVATIVES - PRICING, HEDGING & STRATEGIES

COURSE DESCRIPTION

This program will give the participant thorough understanding of the equity derivatives market. It provides deep insight on kind of equity derivative products and their applications in the market. Pricing of options and futures is covered extensively.


CERTIFICATION AWARDED

On successful completion of the program, you would be awarded the professional certification in EQUITY DERIVATIVES - PRICING, HEDGING & STRATEGIES” by Moody’s Analytics and EduEdgePro.


COURSE COLLATERALS AND HIGHLIGHTS

  • Pricing Models for Structured Derivatives in Excel-VBA
  • Option Strategy Payoff and PL
  • Monte Carlo simulations models built using Excel-VBA
  • Model Calibration Frameworks
  • Exhaustive reading material covering detailed sections outlined below
  • Pre-requisite material on mathematics for Finance
 Fast Facts

 Certified by :
 Moody’s Analytics and EduEdgePro

 Broad Coverage:
  • Introduction to Equity Derivatives Market
  • Equity Derivatives Products-features & application
  • Structures of Option Trading strategies
  • Trading Vanilla Spreads
  • Trading Straddles/ Strangles
  • Trading Volatility
  • Hedging with Forwards and Futures
  • Derivatives Pricing Models
  • Pricing a Future

Mode of Delivery

Price

Duration
Offline Training
(Classroom)

Rs. 40,000 plus
taxes

50 Hours


E-Learning


Rs. 9,500 plus
taxes

30 Hours


Customized In-house
Group Training
Contact us


Customized



COURSE OBJECTIVES

  • Decide what stochastic factors (e.g., volatility, jumps, one or more interest rate factors, default intensities) should be incorporated in a reasonable pricing model for a given derivative
  • Formulate a consistent model incorporating the chosen factors
  • Calibrate the model using market data
  • Understand and implement pricing of equity derivative products and identify hedging strategy for the same
  • Master the option strategies and their application in hedging


WHO SHOULD ATTEND

This course is aimed at those who wish to explore the more advanced aspects of Derivative Markets to build a career in the below areas:

  • Bank treasury markets professionals
  • Derivatives traders, marketers, and structures
  • Corporate treasury professionals
  • Exporters & and Importers
  • Broking firms
  • Institutional investors
  • Corporate Finance Professionals
  • Finance Managers
  • Quantitative Risk Manager
  • Market Anomalies like Day of the Week Effect, Month of the Year Effect
  • Finance controllers
  • Market Regulators
  • Quant Analyst
  • Model Validation
  • Derivatives Analyst
  • Derivatives Pricing Specialist









DETAILED CURRICULUM

Section 1 - Equity Derivatives Market

The objective of this section is to introduce equity derivatives market structure to the participant. It covers role of equity derivatives, growth of equity derivatives market, Types of equity derivatives. The participant will also learn how to develop structures of various option trading strategies like bull bear spreads, calendar spreads, butterfly spread etc.

Introduction to Equity Derivatives Market

  • Evolution of the Equity Derivatives Market
  • Growth of Equity Derivatives Market
  • Market Participants
  • Types of Derivatives Market
  • Role of Equity Derivatives
  • Types of Equity derivatives

Equity derivative products-features & application

  • Futures
  • Forwards
  • Options
  • Equity Swaps
  • FX Swaps
  • Principal Only Swap

Structures of Option Trading strategies

  • Option strategies framework
  • Call
  • Put
  • Covered Call
  • Portective Put
  • Straddle
  • Strangle
  • Bear and Bull spreads
  • Calendar Spreads
  • Collar
  • Butterfly

Section 2 - Equity Derivatives Strategies

This section is aimed at explaining in detail trading strategies for options and futures. It holistically covers strategies like trading using straddle, strangle, using a combination of options etc., how the strategies can be used and managing winning or losing position. It also covers trading strategies using futures.

Trading Vanilla Spreads

  • Setting up Bull and Bear Spreads
  • Option Greeks and profiles
  • Timing Vertical Spreads
  • Trading Volatility spikes with Spreads
  • Trading Calendar Spreads
  • How Implied Volatility affects Vertical Spreads
  • Managing Winning positions
  • Managing Losing positions
  • Timing Option Legs

Trading Straddles/Strangles

  • Straddle and Strangle setup
  • Powerpacking Straddles
  • Greek profiles
  • Managing Winning positions
  • Managing Losing positions
  • Timing Option Legs

Trading Spread Combinations

  • Rationing the Spread
  • Trading Ratio Spreads and Backspreads for breakouts or breakdowns
  • Trading Butterflies
  • Broken Wing variations for Butterflies
  • Scalping Butterflies
  • Trading Condors and Iron Condors
  • Broken Wing variations for Condors
  • Greek profiles
  • Managing Winning positions
  • Managing Losing positions
  • Timing Option Legs

Trading Volatility

  • Volatility Types
  • Volatility Forecasting
  • Trading Implied Volatility and spikes
  • Implied vs Historical Volatility
  • Trading the Volatility Skew and Surface
  • Trading VIX through VIX Futures

Other Advanced Options Strategies

  • Gamma Scalping
  • Hedging Option Greeks
  • Delta Neutral Strategy
  • Delta-Gamma-Vega Hedging
  • Dynamic Hedging
  • Legging, Rationing and Market timing
  • Choosing between Options Strategies
  • Reading Open Interest and refining Options Strategies

Hedging with Forwards and Futures

  • Long Hedges
  • Short Hedges
  • Traditional \91Insurance\92 Approach
  • Mean\96Variance Approach
  • Understanding the Minimum Variance Hedge Ratio
  • Position Risk
  • Proxy Hedging
  • Basket Hedging
  • Performance Measures for Hedged Portfolios

Section 3 - Derivative Pricing Models

This section focuses on equity derivatives pricing. Black Scholes Framework, risk neutrality pricing, PDE approach to derivatives pricing, jump diffusion models, Monte Carlo Simulations and Exotics Pricing and more are explained using excel modeling. The section also covers cost of carry model and expectancy model for pricing of Future market.

Determinants of an option price

  • Understanding of what determines the price of an option
  • Understanding the \93Greeks\94 using the Black-Scholes option pricing model
  • Implied volatility of options and its impact on options pricing
  • Collars

Derivative Pricing Models

  • Risk Neutral Pricing
  • Return Form of Asset Pricing
  • PDE approach for Derivatives pricing
  • Introduction to Black Scholes Pricing
  • Black Scholes Framework
  • Extension to Black Scholes
  • Stochastic Volatility models
  • Jump Diffusion Models
  • Monte Carlo Simulations and Exotics Pricing
  • Binomial Option Pricing Models

Pricing a Future

  • The Cost of Carry Model
  • The Expectancy Model

DETAILED CASE STUDY AND EXCEL IMPLEMENTATION

Let us bring our classes to you! Our in-house training are ideal for groups of 10 or more people. We can provide Off-the-shelf training in the form of our classic courses, or we can provide bespoke training, tailored to your organisational goals and objectives. Please contact us for further details.

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