Equity derivatives, by Aymeric Kalife (Axa Hedging Services)

The objective of the course(12h) is to give an all around comprehensive general knowledge and understanding of the theory and the day-to-day use of  Options. Participants will learn how market makers and asset managers use Financial Options alike in the management of risks, for trading, hedging and arbitrage, fom vanilla to exotics.

Planning of the course : 

· Capitalizing on a “nuanced” Equity view using Equity derivatives

- Specific market situations where derivatives go beyond cash
- Tailoring a derivatives strategy to a specific market situation : the “Nuance view” approach
- Practical look at derivatives features: Protecting against downside exposure, Boosting returns

· Arbitraging Equities using Equity derivatives

- Asymmetry between market rise and fall : “the skew” 
- Short-term crash fears : jumps and “fat tails” 

- Long-term uncertainty : volatility term structure 

· Hedging Equities using Equity derivatives

- Dynamic hedging : “delta hedging” using Futures 
- Static hedging : “gamma and vega hedging” using options 
- Why Exotic options? Focus on barrier options hedging & pricing sensitivities.

References:

« Dynamic Hedging & exotic options » by N.Taleb (Wiley);

« Option Volatility & pricing » by Natenberg (Mc Graw Hill);

« Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits » by Passarelli & Brodsky (Wiley);

« The Greeks and Hedging Explained «  by Leoni (Wiley);

« The volatility surface » by Gatheral (Wiley)

Assessment: « Trade idea » take home exam