Dynamic Hedging Essentials- Schedule
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Thursday, April 26, 2012 Chicago, US |
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| 8:00 | Registration and Breakfast |
| 8:30 | Lecture EL1 | Review of Hedging Instruments J. Wiesner EL2 | First, Second, Third Order Greeks and Cross Greeks C. Gilbert |
| 10:00 | Application EA1 | Calculate the Greeks C. Gilbert |
| 10:30 | Break |
| 10:45 | Lecture EL3 | A Primer on Delta Hedging J. Wiesner |
| 11:15 | Application EA2 | Execute Delta Hedge J. Wiesner |
| 11:30 | Lecture EL4 | Overview of Dynamic Hedging Practices C. Gilbert |
| 12:30 | End of Dynamic Hedging Essentials |
| 13:30 | Lecture ML1 | Implementation of Dynamic Hedging C. Gilbert ML2 | Economic Scenario Generators and Nested Simulations C. Gilbert |
| 15:00 | Break |
| 15:15 | Lecture ML3 | Simulation and Evaluation of Dynamic Hedging Strategies C. Gilbert |
| 16:00 | Application MA1 | Quantify Cost and Risk Distribution of GMWB C. Gilbert |
| 15:15 | Lecture ML3 | Understanding Hedge Effectiveness J. Wiesner |
| 17:45 | End |
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Friday, April 27, 2012 Chicago, US |
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| 8:00 | Breakfast |
| 8:30 | Application MA2 | Perform Fund Mapping C. Gilbert MA3 | Calculate Trading Grid C. Gilbert MA4 | Produce Risk Report J. Wiesner |
| 10:00 | Break |
| 10:15 | Case Study MC1 | Execute Dynamic Hedging Strategy J. Wiesner |
| 12:00 | Application MA5 | Attribution Analysis J. Wiesner |
| 12:30 | End of Dynamic Hedging Master Class |
| 13:30 | Welcome and Introduction |
| 14:00 | Roundtable Discussion Survey of Industry Practices Identification of Challenges and Issues Facing Industry Benchmarking - Hedge Effectiveness, Grid Processing Speed |
| 17:30 | End of Workshop |
| 17:30 | Networking Opportunity |
| 17:45 | End |
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.