Equity Derivatives
Structured Products

This two-day course provides a holistic overview of the vast array of equity derivative structured products currently available, including some of the latest market innovations such as volatility targeting strategies. The course avoids in-depth mathematics, instead focussing on real-world applications.

The course begins with fundamental concepts of options and swaps, moving on to discuss wrappers around derivatives, including capital protection and participation ratios. Delegates are then introduced, via term-sheets, to more complex products and associated features such as Asian, lookback and barrier options. The practical relevance of each feature is explained in turn, from both the seller and the buyer perspective. The course moves on to briefly explore the role of volatility in derivatives. This leads naturally to a discussion of volatility targeting, and associated strategies and products. Finally, the application of volatility targeting to enhance structured products is described.

Practical examples will be discussed and demonstrated with delegates each being equipped with PCs with Excel software and relevant data.

June 21 to June 22, 2016
Duration: Two days (9.00am to 5.00pm)
Location: The Tower Hotel – London, UK
Trainer: Peter Robinson
Course fee: £1890 + VAT – Register online


Introduction to Equity Derivatives

+ Option definition. Difference between option investment and stock investment
+ Payoff definition
+ Concept of gearing / leverage

Concept of a termsheet

+ Definition of a termsheet
+ Derivatives in note form
+ Forms of capital guarantee

Features of structured equity derivatives. Part 1

+ Simpler features: Asian, lookback
+ Covered calls, collars
+ Digital features

Features of structured equity derivatives: Part 2

+ Barrier features
+ (Auto) callability
+ Period-on-period return products (cliquets)


Equity Volatility and Equity Derivatives

+ What is volatility?
+ Why does it matter to an investor?
+ Can we manage volatility?

Volatility Targeting: Part 1

+ Concept of volatility targeting
+ Tailored volatility & leverage
+ Strategies & products available: ready-made indices

Volatility Targeting: Part 2

+ Volatility targeting in practice
+ Comparison with straight stock investment
+ Lead/lag effects
+ Volatility of volatility

Volatility Targeting: Part 3

+ Volatility targeting and structured products
+ Advantages for long-dated and cliquet products
+ Comparison of structured products with and without vol targeting