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A Trader’s guide to Equity Derivatives


To provide a practical introduction to equity derivative products, including pricing, hedging and structuring equity derivatives. This courses covers both exchange traded and over the counter equity derivatives in addition to equity derivative securities such as warrants and convertible bonds. It covers structuring and hedging considerations from both buyer and seller perspectives.

Will learn:

·        Special features of equity underlying

·        Equity derivative structures designed to optimise risk / return profiles for both issuer and purchaser

·        Structuring, pricing and hedging of equity derivatives

·        Over the counter and structured securities

Audience:  market professionals with at least 1-year experience (some basic understanding of markets/products helpful)

·        Traders, sales, support, Internal Audit

·        Fund managers

·        Risk management


Table of Contents


1.   Overview: consideration of the big picture and objectives of securities and derivatives valuation and risk management and the framework for spot and forward instruments and the concept of arbitrage valuation.

2.   Non-Contingent Equity Derivatives Basics: introduction to traditional equity derivatives including forward, futures, swaps, index arbitrage and many others.  This section also includes valuation and risk management incorporating standard position keeping methods as well as VaR based approaches.

3.   Contingent Equity Derivatives: introduction to options based equity derivatives.  This section also includes valuation under uncertainty and the applications to finance expressed in clear down-to-earth terms and including a review of statistical and probabilistic concepts, culminating with a clear understanding of the fundamentals of pricing models and worked examples with Monte Carlo and Tree techniques.  Also included is a comprehensive consideration of Risk Neutral (Black-Scholes) Option Pricing case explained in detail (where it comes from and what it means, how Black-Scholes can FAIL for risk management.

4.   Market Convention Methods for Options Hedging: Sensitivity and the "Greeks", Black-Scholes Greeks, Sample “Bucket” Report, Dynamic vs. Static Hedges and Sensitivity vs. Profile Hedges (Delta hedging, Pyramid Hedging, Static Profile Matching, Dynamic Profile Matching, Rules of Thumb for Dynamic/Static vs. Sensitivity/Profile)

5.   Volatility Basics: Characterising Volatility, Implied Volatility, Volatility Skew, Term structure of volatility, Advanced volatility concepts (forecasting volatility, a glimpse at cheap/dear analyses, implied distributions), Some real world effects, Correlation and Covariance.

6.   Complex Options and Structured Equity Derivatives: qualitative review of each of the "usual suspects": Asian, Digital, Barrier, Lookback, Chooser, Compound, Spread, Quanto, etc as well examination of structured (e.g. convertible bond) products.

7.   Portfolio Simulation: introduction to simulation techniques for assessing trading strategies of a position/portfolio over a holding period, case study of a vanilla call option position hedging strategy analyses including both back-testing and forward-testing.


710 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Plus copies of relevant TG2 Books/e-Books

Note: Seminars can be tailored to your trading, risk, client, and systems needs.  Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard" list HERE)

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Last modified: July 25, 2011