The foreign exchange and equity markets are in a dynamic environment that is constantly innovating and evolving. The main aspect of this course is to give a detailed description of how to practically realize pricing and hedging under different kinds of modeling of market volatility: constant, time-dependent, local, and stochastic, and to examine their differences and effects. In particular, in the case of stochastic volatility, the special emphasis is given to practical calculation of the risk premium due to the future possible market changes that cannot be predicted and hedged fully.
This extremely practical course will make use of live interactions with programs and trading tools set up to support in explaining and visually demonstrating certain areas, such as the importance of establishing fair volatility levels on day one and examining the various gamma/delta hedging tools on day two. The use of practical exercises, group discussions and Q&A sessions will allow you to effectively benefit by helping you to employ the techniques learnt and to address your business concerns over the two day workshop.
• The Black-Scholes theory of pricing and hedging of financial derivatives – constant, time-dependent
and local volatility
• FX futures, FX options, and other derivatives, with correct risk premium
• Stochastic volatility and other incomplete market models
• Volatility in FX Markets
• FX rates under stochastic interest rates and stochastic volatility
• Market price of risk (risk premium) determination
• Pricing and hedging of FX derivatives under stochastic interest rates and stochastic volatility
• Volatility in Equity Markets
• Explicit pricing formula for variance swaps
• There will be case studies on the following:
- Numerical experiments – how much do the European and American option prices and hedges differ?
- Equity options – Heston’s stochastic volatility model and its solution
- GARCH stochastic volatility model – the numerical solution for risk premium and option price
- Implied volatility term structure and skew
- Why JPY falls when investors ignore risks?
- Estimating market parameters for USD, CAD, JPY, GBP
- Valuation of P&G (the stock market bubble might have been avoidable)
- The bull/bear market and price/volatility correlation effects on pricing of variance swaps
This is a MUST Attend Masterclass for the following personnel requiring more information on fund performance and all those involved in looking at the general risk associated with trading volatility.
Vice Presidents, Heads, Managers, Analysts, Advisors and Market Players in:
• Trading: Flow, Proprietary, Arbitrage, Structured Products and Customer Trading
• Market Risk Management
• Trading and Markets: Derivatives, Equity, Fixed Income and Currencies
• Portfolio Management and Strategy: Equity, Fixed Income, Currencies, Directional/Non-Directional
and Short Term/ Long Term
• Convertible Bonds
• Options
• Hedge Funds
• Investment: Alpha/Beta Investment, Yield Enhancement, Protection and Leverage
• Alternative Investments
• Quantitative Analysis and Research
• Derivatives Research
• Risk Management
• Risk Analytics and Control
• Corporate Treasury
• FX Options and Derivatives
• Wealth Management and Private Banking
• Model Risk, Validation and Valuation
He is the Professor of Mathematics at one of the leading universities in the US, leading the Master of Science in Mathematical Science - Financial Mathematics track, advising PhD students in financial mathematics and a renowned author. His recent research is focused on the following:
- Volatility modeling, volatility derivatives
- Foreign exchange rates and foreign exchange derivatives (market risk aversion/sentiment effect on FX rates)
- Quantitative equity, market share effect on equity valuation, risk management
- Interest rates, yield curve modeling and fitting, humped yield curve
- Analytic determination of risk premium, pricing and risk management in incomplete markets under multi-dimensionality of risks
He has been conducting intensive short courses in New York in London, on topics such as stochastic volatility and risk premium, volatility trading, interest rates, foreign exchange options, equity, portfolio optimization, etc., all of them tailored-made for finance professionals. He is also a frequent invited speaker at academic conferences in quantitative finance, such as “PDE & Finance” in 2007 and “Advanced Mathematical Methods for Finance” in 2008. He has taught numerous clients, which include UBS, Societe Generale, National Bank of Canada, Accenture, Federal Home Loan Bank of Cincinnati, Central American Bank for Economic Integration, Federal Deposit Insurance Corporation, BullTick, NumeriX, ABN-AMRO, Campbell & Co., Reuters etc.
His recent research relates to Asian financial markets (the effect of market risk aversion on JPY), and has published in Asia-Pacific Financial Markets. He also published numerous articles in journals such as Comptes Rendus Mathematique, Journal of Computational Finance, SIAM Journal on Control and Optimization, etc. He holds PhD degree in mathematics from Northwestern University.
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