To
ensure we meet your expectations and maximise your return on training
investment, we favour a classroom/workshop set up for the delivery of our
courses. Please note we have therefore limited number of spaces available and
these will be assigned on a first come, first accepted basis. We recommend
early booking to avoid disappointment.
Explore sophisticated stochastic
volatility models and strategies: Heston, cliquets, options on variance and VIX
products
How will you benefit?
During the recent financial crisis, trading of variance
swap and VIX products has shown that volatility is far from deterministic and
can fluctuate widely. This apparent stochastic behaviour of volatility has been
seen across the globe in both developed US and European markets as well as in
Asian and emerging markets. In these times of rapidly changing volatility,
practitioners have to reassess the impact of uncertain volatility on some of
the more common OTC derivatives products such as cliquets and barrier options.
This has led to a renewed interest in the theory and practice of stochastic
volatility modelling. A recent innovation in the market is the ability to trade
volatility directly. OTC products such as variance swaps, variance options, and
gamma swaps are readily available. There are also listed volatility futures and
options. As the market for these products is expected to grow rapidly,
understanding the uncertain nature of volatility has never been more important
for market practitioners and theoreticians alike.
This 2-day PC-based workshop will provide delegates with
both a practical understanding of stochastic volatility dependent products, and
a theoretical understanding of some of the more popular stochastic volatility
processes.
Learn how volatility can be traded in the market
Review the
advantages and disadvantages of different approaches to volatility modelling
Understand how volatility can be measured using
different underlying products
Examine how VIX futures and options are changing the
trading of volatility
Gain an understanding of new financial products designed
to trade volatility
Learn techniques for managing caps on variance swaps
Examine how VIX futures and options are changing the trading of volatility
About your expert trainer:
Dr. Simon Acomb has over 16 years experience in quantitative finance. He
started his career in finance at Barclays deZoete Wedd in 1992 in the Equities
Derivatives Group and progressed to run the quantitative research team. This
was followed by five years at Commerzbank where he established a derivatives proprietary
trading team and then became head of the equity quantitative research group.
Most recently Simon has been a managing director at Morgan Stanley as global
head of the Equities Analytic Modelling Group. He now works as a consultant and
trainer in mathematical finance. Simon has a PhD in Applied Mathematics from Oxford University
Pre-course questionnaire:
A detailed questionnaire will be sent to all course participants to
establish exactly where the group training needs lie. The completed forms will
be analysed by the course leader/trainer and followed by telephone if further
clarification is required. As a result we can guarantee that the course is
pitched at exactly the right level and that the issues that you regard as
relevant are addressed. The course material will reflect these issues and will
enable you to digest the subject matter after the event in your own time.
Who should attend?
From Financial Institutions, Investment Banks, Hedge Funds
and Pension
Funds, Consultancy Groups and Solution Providers
Heads, Managers, Advisors and Market Players in:
Exotic Equity Derivatives Trading
Trading: Flow,
Proprietary, Arbitrage, Structured Products and Customer Trading
Trading and Markets: Equity, Fixed Income and Currencies
Portfolio Management
and Strategy: Equity, Fixed Income, Currencies, Directional/Non-Directional and
Short Term/Long Term
Investment:
Alpha/Beta Investment, Yield Enhancement, Protection and Leverage
Alternative Investments
Quantitative Analysis and Research
Financial Engineering
Derivatives Research
Structuring
Risk Management
Risk Analysis and Control
Data Monitoring and Analysis
Corporate Treasury
