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 Advanced Exotic Equity Derivatives Pc-Based Workshop






Advanced Exotic Equity Derivatives Pc-Based Workshop

 

This two day seminar will focus on the three most relevant exotic families for the equity market today: Barrier options, forward start options and variance swaps.

Advanced smile and credit modelling are essential for the pricing and hedging of these exotic instruments, and in turn they provide key calibration information.

You will cover this throughout the first day by describing the instruments, explaining the most popular tricks of the trade to price and hedge them, and identifying the limits of these closed form formulae. We motivate the need for advanced smile and credit modelling throughout the course.

The second day is aimed at exploring the practical issues as the theoretical results of the first day are brought to bear through two workshops and a series of computer simulations.

We aim to explain why barriers, forward starts and variance swaps are truly exotic by showing that they entail information which cannot be recovered from the vanilla options and the CDS alone.

We introduce a general reduced form homogeneous model with regimes which we use as a platform in order to investigate in details the problems of co-calibration for the pricing and hedging of our exotic instrument families.

Key updates to this successful seminar include latest developments in variance swaps and a new session on volatility trading.


• Explore in depth the three exotic families of most relevance for the equity market today: Barrier options, forward start options and variance swaps

• Get access to the latest research on gamma swaps, corridor variance swaps and conditional variance swaps

• Discuss the limit of standard techniques in pricing exotic instruments

• Decipher complex hedging strategies with multiple sources of risk

• Gain knowledge on regime switching models as a simple homogeneous alternative to modelling

• Understand the role of exotic instruments in the calibration of consistent equity models

• Look into advanced smile and credit models

• Optimise volatility trading by analysing variance swaps and volatility strategies

About the trainer:

Philippe Henrotte is an Affiliate Professor in Finance at HEC Paris.

He is a graduate from Ecole Polytechnique Paris, he holds a DEA in Finance (advanced degree) from Paris-Dauphine University and a PhD in Finance from Stanford University, Graduate School of Business.

His research interests focus on hedging and pricing of derivatives. Professor Henrotte left the academic world from 1996 to 1998 to found and manage Russian Opportunities Fund Ltd., an open ended fund which targets the emerging markets of the CIS.

This fund is today ranked consistently as one of the best hedge funds in the world. Since 1999 he is Founder and Managing Director of ITO 33, a company which produces sophisticated derivatives pricing and hedging software for banks and fund management companies.

Philippe has previously also worked for Banque Rothschild et Cie, Transoptions Finance, Banque Unigestion, Banque Indosuez and Barclays Bank.<

 


Location:
 A Five Star Venue To Be Announced Shortly, , Hong Kong
Country:
  China
Start Date:
 Jul 29, 2008
End Date:
 Jul 30, 2008
Organizer:
 N/A
Sectors:
 Economy
Business & Finance
 
** To register please Click Here


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