Equity Derivatives

We cover the issues faced in modelling equity derivatives such as dividends and the volatility smile. We show how to price options on a basket of assets, effect of correlation and describe some commonly traded products.

1. Vanilla Options on Stocks.

2. Effect of dividends, fixed cash and proportional.

3. The volatility smile and arbitrage free conditions in time and space

4. Basket options, pricing methods including copulas

5. Variance Swaps and hedging volatility.

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