Equity Derivatives: Characteristics and Uses

LEVEL: INTRODUCTORY LEVEL

▪	Understand equity markets and the role of participants
▪	Master the various types of equity derivatives and associated risks
▪	Understand capital-guaranteed products, trackers and other tailor-made strategies
▪	Master portfolio hedging
▪	Understand pricing and book management methods

▪	Zero-coupon valuation - Introductory
▪	Black & Scholes modelling - Introductory
▪	Monte Carlo modelling - Introductory
▪	Sensitivity to market components: the “Greeks” - Introductory
▪	Hedging techniques - Introductory
▪	Introduction to structured equities - Introductory

▪	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

Fundamentals of Equity Markets (Revision)
Characteristics of Equity Derivatives
▪	Equity and Index Futures
▪	Standard equity options
▪	Exotic options: average, barrier, lookback, cliquet etc.
▪	Case Study . Examples of listed options and futures
Market conventions and role of key-players
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™
Main Uses
▪	Standard strategies based on derivatives
▪	Guaranteed/Non-guaranteed structured products
▪	Convertible bonds
▪	Practical workshop (in EXCEL™) . Simulate the behaviour of convertible bonds
▪	Equity swaps
▪	Replication products
▪	Multi-underlying: “promise funds”
▪	Practical workshop (in EXCEL™) . Hedge 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