Dynamic Hedging Master Class- Schedule
| Wednesday, April 13, 2011 - Day 1 Seoul, Korea |
|
| 14:00 | Lecture ML1 | Implementation of Dynamic Hedging C. Gilbert |
| 15:30 | Break |
| 15:45 | Lecture ML3 | Simulation and Evaluation of Dynamic Hedging Strategies C. Gilbert |
| 16:30 | Application MA1 | Quantify Cost and Risk Distribution of GMWB C. Gilbert |
| 17:15 | Lecture ML3 | Understanding Hedge Effectiveness J. Wiesner |
| 18:00 | |
| Thursday, April 14, 2011 - Day 2 Seoul, Korea |
|
| 7:00 | Breakfast |
| 8:30 | Application MA2 | Perform Fund Mapping C. Gilbert MA3| Calculate Trading Grid J. Wiesner MA4 | Produce Risk Report J. Wiesner |
| 9:30 | Break |
| 9:45 | Case Study MC1 | Execute Dynamic Hedging Strategy J. Wiesner |
| 11:30 | Application MA5 | Attribution Analysis J. Wiesner |
| 12:00 | End of Dynamic Hedging Master Class |
To read more about this course, please click here.
Course Material
On-site Package
- Course Manual and CD
- Excel Based Models and Tools
- Stochastic models
- Delta hedging simulator
- Dynamic hedging model
- Option pricing calculator
- Risk metrics and analytics to calculate Greeks
- VaR and CTE
- Application Exercise and Solutions
- Case Study Material
- Production descriptions (guaranteed products)
- Stochastic models
- Illustrative liability cash flows and market data
- Group Assignments
This program is eligible for 7 CE credit hours, as granted by CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.