Volatility: Trading and Managing Risk
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.
Recommend to a Colleague- Date:
- Please contact us
- Venue:
- Cliftons Singapore - The Finexis Building
- Fee:
This course is also available in London Time Zone and New York Time Zone
This course is FTS-Eligible* and also eligible for CPD hours. GARP & CFA Institute members are eligible for CE/CPD credits. See details
- 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
- Basic mathematics including the concept of a derivative
- Participants should be familiar with the use of Excel
*FTS Eligible
This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is
eligible for FTS claims subject to all eligibility criteria being met. Please note that in no way does
this represent an endorsement of the quality of the training provider and programme. Participants are
advised to assess the suitability of the programme and its relevance to participants' business activities
or job roles. The FTS is available to eligible entities, at a 50% funding level of programme fees subject
to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme
Directory with the specified validity period. Please refer to www.ibf.org.sg for more information.
Dr Simon Acomb has over 30 years of 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.
Request a Brochure with full details for Volatility: Trading and Managing Risk
06-Mar-2017 - FRTB: Standardising risk - FTSE Global Markets
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
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 vs. 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
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 vs. Dynamic Hedging
- Impact of Model choice
- Smile risk
- Understanding greeks
- Vega convexity
Workshop: Finding the best vega hedge
The course was of a very high quality with practical examples. I highly recommend it.
(Risk Control - Noveo Finance)
The course was beyond the needs of and my objectives given my current role in wealth management. […] What I found most exceptional about Simon (teacher) was his ability to present the material in a way that enabled both a basic understanding of the material for novice modellers like myself as well as provide a mathematical foundation and validation for those in the class with advanced degrees in math-based studies. […]
(First Vice President - Wealth Management - UBS Financial Services)
Dr. Simon Acomb's delivery was a rigorous but very insightful practical training tailored for Quants on volatility modelling. It emphasizes the features of each model as well as their limitations in practice.
(Senior Quantitative Analyst - The Options Clearing Corporation)
Great course, highly recommended.
(Strategist - UBS)
Informative and practical course. There will be interesting material for anyone, regardless his/her level of understanding in volatility.
(Investment Associate - Ontario Teachers' Pension Plan)
Great course. Simon struck the right balance in terms of the mathematical contents of this course and was able to convey deep insights of great practical relevance. I recommend this course to anyone serious about understanding, modelling, and trading vol.
(Assistant Portfolio Manager - Ontario Teachers' Pension Plan)
An excellent course covering not only the theory but also some very good practical applications
(Treasury Sales - Westpac Banking Corporation)
"I think the course was very interesting and useful. I think the tutors were very proficient in the subjects and I especially enjoyed learning from Simon who has the ability to back up theory with significant practical experience and understanding."
(Derivatives Trader - Vtb Capital Plc)
"I really liked the fact that the course content delivered on both theoretical and practical aspects of the volatility trading. Instructor was very knowledgeable, was happy to answer questions and effectively delivered the main idea and important points."
(Senior Director - RBC)
"I was impressed by the practical approach of the course. Very useful for practitioners."
(Head Portfolio Manager - Latin American Reserve Fund-FLAR)
"I felt that the instructor was extremely knowledgeable and conveyed the information in an clear way. I was extremely pleased with the class. It greatly exceeded my expectations."
(Director - Aon Corporation)
"I strongly recommend this course, it's very interesting and applicable."
(Research Manager - Latin American Reserve Fund-FLAR)
"An excellent primer on volatility trading covering first principles right through to the cutting edge in models. I came away with the knowledge to put into practice many of the models applying techniques taught in the course."
(Portfolio Manager - Ontario Teachers' Pension Plan)
"I thoroughly enjoyed the course at LFS. Tutors were brilliant and interesting which made the classes even more fun. LFS staff were very friendly. Lunch and refreshments were first class. Location is great. I strongly recommend it to everyone."
(Developer - BNP Paribas)
Course Details
This course is also available in London Time Zone and New York Time Zone
- To run this course at your organisation, contact us.
Call now for more information on this course or to book:
Asia Pacific +65 3159 3707
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London Financial Studies is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits.