Power Workshop on Equity Derivatives Modelling

The workshop shall contain the following discussion threads/model building:

• Monte Carlo simulation of single asset random walk;
• Monte Carlo simulation of multiple assets using Cholesky decomposition;
• Engineering Equity structured notes for buy side customers - 2 case studies;
• Pricing of vanilla equity notes (call, put optionality and bull and bear notes);
• Estimation of Participation Rate of a Note;
• Pricing of Rainbow and Asian Rainbow equity notes using Monte Carlo simulation;
• Pricing of Cliquet equity notes and basket notes using Monte Carlo simulation;
• Basket equity Notes and Correlation Vega;
• Stressing Correlations and impact on IRR of the notes;
• Volatility duration of notes and impact on risk profile.

The workshop shall be conducted entirely in Excel/VBA spreadsheet environment. All spreadsheets, models developed shall be given away to the trainees.

The workshop shall be held for 6 hours from 9 am- 12 pm and 2pm-5 pm at our office at 8/F Bank of America Tower, 12 Harcourt Road, Central, Hong Kong.

All Candidates will be awarded a Certificate of Participation by Risk Latte Company.

For Registration and Enquiries please
fill out our Web-based form or Call the Risk Latte Team on +852 2584 6127