Volatility: Trading and Managing Risk

London Financial Studies
En London (Inglaterra), Hong Kong (Hong Kong) yNew York (Estados Unidos) y 1 sede más.


Información importante


This programme gives you a deep understanding of the key differences between volatility models and their implications for trading and risk management.

The course starts by analysing the role of volatility in current financial markets including the causes and impact of volatility smiles on a variety of financial products. This leads into practical sessions covering techniques for trading volatility, and the application of a range of volatility derivatives such as volatility swaps, volatility futures and volatility options.

The final part of the programme covers the treatment of volatility in the more popular stochastic volatility models used in the industry such as SABR and Heston and provides insights into the most relevant approaches to modelling volatility under current market conditions.

This course is also available remotely via LFS Live.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Derivative traders
Quants and research analysts
Fund managers, fund of funds
Structured product teams
Financial and valuation controllers
Private wealth managers
Risk managers and regulators
Finance directors
Bank and corporate treasury managers

Requisitos: Basic mathematics including the concept of a derivative Participants should be familiar with the use of Excel

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
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Hong Kong
Hong Kong, Hong Kong
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27 septiembre 2017
34 Curlew Street, se12nd, London, Inglaterra
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New York
New York, Estados Unidos
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The Finexis Building, Singapore, Singapur
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¿Qué aprendes en este curso?

Volatility Trading
IT risk
Managing Risk
Financial Training
Vega convexity
Hedging Volatility
Market Models
Volatility Surface
Stochastic Alpha
Stochastic Volatility


Day One

Black Scholes Revisited
  • A quick revision of Black Scholes and Ito lemma
  • Black Scholes Greeks
  • Black Scholes implied volatility and implied risk neutral distributions
  • Examples of derivatives sensitive to the whole volatility surface
  • Motivation for alternatives to Black Scholes and stochastic volatility 
Local Volatility
  • Is Local Volatility a stochastic volatility model?
  • Calculating a Local Volatility
  • Implementing Local Volatility models
  • Local Volatility as a conditional expectation of instantaneous volatility
  • Weaknesses of Local Volatility models
Workshop: Calibrating local volatility and pricing a Barrier option

Trading on Realised Volatility
  • Volatility Skew and Smile
  • The Greeks
  • Trading Skew and Kurtosis
  • Trading Implied Volatility
  • Variance Swaps and Volatility Swaps
Workshop: Fitting a volatility surface and pricing a variance swap

Day Two

Heston and the Volatility Surface
  • Looking at volatility dynamics in the real world
  • The Heston equation
  • The role of market price of volatility risk
  • Volatility surface sensitivities to Heston parameters
  • Linking Heston parameters to Black Scholes implied volatilities
  • Implication of the Heston volatility surface dynamics
  • Simulating the Heston process
Workshop: Simulating the Heston dynamics and using it to price a Barrier option

SABR and the Volatility Surface
  • SABR: Stochastic Alpha, Beta and Rho
  • SABR calibration
  • SABR parameters and the volatility surface
  • Sticky strike versus sticky moneyness
  • SABR in interest rate modelling and LMM SABR
Trading on Volatility Indices
  • Volatility indices – VIX and VSTOXX
  • Volatility as an Asset Class – VXX and VXZ
  • Incorporating Volatility into an Investment Portfolio
  • Futures and Options on Volatility Indices
  • The need for a stochastic volatility model
  • Hedging Volatility Indices
Workshop: Finding a risk neutral distribution of volatility

Day Three

Market Models of Volatility
  • Volatility surfaces revisited – extrapolation and interpolation
  • Combining risk neutral distributions with a copula
  • Using volatility smiles and copulae for pricing basket and spread options
  • Dispersion trading
  • Market models of volatility options
  • Arbitrage between volatility options and S&P options
Workshop: Relating VIX options and variance swaps

Hedging Volatility Exposure
  • Hedging volatility exposure of a book of exotic options
  • Static versus Dynamic Hedging
  • Impact of Model choice
  • Smile risk
  • Understanding greeks
  • Vega convexity.
Workshop: Finding the best vega hedge
Este curso está en español. Traducir al inglés