Advanced Lattice Modeling for Equity and Debt Securities
Part 2 of BVR's 2015 Special Series on Financial Modeling
Tuesday, February 3, 2015
10:00am-11:40am PT • 1:00pm-2:40pm ET
The recording and transcript for this webinar are available to subscribers:
Already a subscriber? Login
Purchase the Training Pack ($199.00) to get the recording, transcript, and presentation materials for this webinar in a single download. Please allow up to 30 days after the webinar for the Training Pack to be available.
Lattice models, typically binomial lattice models, are utilized for the valuation of more complex equity and debt securities which cannot be valued using a closed-form solution (such as the Black-Scholes-Merton option pricing model); however, the modeling and selection of appropriate methodology present many challenges. In this webinar, the speakers will present several approaches to valuing complex equity and debt securities, including the identification of a security’s features and payoffs that require a lattice model instead of a closed-form solution. In addition, the speakers will share their opinions and potential pitfalls when utilizing lattice models.
- Overview of lattice models
- Lattice models for equity securities
- Closed-form vs. lattice model
- Cox, Ross, and Rubinstein Binomial Option Pricing Model
- Case studies
- American Call Option
- Dividends vs. no dividends
- Continuous vs. discrete dividends
- Employee stock option utilizing sub-optimal exercise factor
- Equity securities within a complex capital structure
- Measuring volatility
- Lattice models for debt securities
- Debt with embedded options
- Appropriate models when valuing debt
- Identifying option features
- Black-Derman-Toy Model
- Convertible debt
- Credit risk and equity option features into a debt model
- Identify some basic types of securities or features that require a lattice model
- Learn how to create a lattice model for more complex equity and debt securities using Microsoft Excel
- Learn how measure volatility of underlying asset (equity, interest-rate, etc.)
- Identify common pitfalls and mistakes made when utilizing lattice models
BVR's Training Packs are an indispensable addition to any valuation reference library. Use them as training tools as many times as you'd like, wherever you are: play them at your computer at work or home, in your car, or on your personal audio device.
Delivered as an electronic download approximately four weeks after the program has aired, each Training Pack includes:
- Recordings and transcripts of the presentation
- All presentation visual aids and handouts
- All ancillary reading materials suggested by our presenters
If you are ordering a Training Pack after the four week window, the download link will be sent to you immediately via email. Please check your spam folder and add firstname.lastname@example.org to your “safe list” to ensure you receive your Training Pack.
See BVR's complete list of available Training Packs from past webinars for more information.
BVR's Satisfaction Guarantee
Business Valuation Resources offers a 100% money-back guarantee on our training services. If you are not completely satisfied with your experience, or have any feedback, please contact Business Valuation Resources at 1-503-479-8200 or email@example.com.