Equity Derivatives: Characteristics and Uses

Fundamentals of Equity Markets (Recap)
Characteristics of Equity Derivatives
  • Equity and Index Futures
  • Standard equity options
  • CFD
  • Practical workshop
  • Calculate margin calls and deposit
  • Use futures to hedge/speculate
Market Conventions and Role of Participants
Introduction to Pricing
  • Black & Scholes formula
  • Monte Carlo method
  • Trees
  • Practical workshop
  • Build a Black & Scholes pricing spreadsheet in EXCEL™
  • Monte Carlo simulation in EXCEL™
  • Introduction to delta-neutral management
Main Uses
  • Standard strategies of derivatives
  • Guaranteed/Non-guaranteed structured products
  • Convertible bonds
  • Equity swaps
  • Replication products
  • Multi-underlying: “promise funds”
  • Practical workshop
  • Hedging an equity portfolio with various products
  • Cash-derivatives arbitrage
  • Zero-cost strategies
  • Replication strategies within the framework of benchmarking
  • Over-performance strategies
  • Cash-extraction strategies
  • Construction of structured products using vanilla pay-offs
  • Presentation of exotic pay-offs: average, knock-in/out, lookback…
  • Examples of products

  • Understand equity markets and the key-players.
  • Master the mechanics, market conventions and uses of vanilla and exotic equity derivatives
  • Know the basics of pricing and the risk factors of these products
  • Understand hedging techniques
  • Understand the principles of structuring equity
  • Step by step approach to equity derivatives from theory to practice and simple to complex strategies
  • Study real examples to cover all market configurations in order to optimise strategies
  • Fund managers
  • Junior traders
  • Salespeople
  • Issuers
  • Financial divisions
  • Risk management divisions
  • Support staff: IT, middle office, internal and external audit, senior back office
  • Internal controls / Audit
  • Institutional investors
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