Volatility: Trading and Managing Risk
Starting dates and places
London Financial Studies offers their products as a default in the following regions: London
Description
The course starts by analysing the role of volatility in the current financial markets including the causes and impact of volatility smiles on a variety of financial products. This leads into sessions on the application of a range of volatility derivatives such as volatility futures and options, tradeable volatility products such as VXX, and volatility swaps. 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.
Presented by Simon Acomb and Dr. Ser-Huang Poon.
Prof. Ser-Hua…
Frequently asked questions
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The course starts by analysing the role of volatility in the current financial markets including the causes and impact of volatility smiles on a variety of financial products. This leads into sessions on the application of a range of volatility derivatives such as volatility futures and options, tradeable volatility products such as VXX, and volatility swaps. 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.
Presented by Simon Acomb and Dr. Ser-Huang Poon.
Prof. Ser-Huang Poon is a Professor of
Finance at Manchester Business School and has held several visiting
appointments at universities in the U.S., Canada, the Netherlands,
and Singapore. She is internationally renowned for her volatility
research. Her work, with Nobel laureate Clive Granger, was cited on
the Nobel web site as reference reading in volatility, and has won
the Financial Analysts Journal Graham and Dodd Scroll Award for
Excellence for 2005. She has published papers in international top
ranking journals and has written three books, including a Wiley
book on forecasting volatility.
Dr Simon Acomb has over 20 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.
Special rates are available for multiple bookings. Please enquire if you would like to take advantage of these
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