Volatility and Correlation Products: Pricing and Sensitiviy

Mechanics of variance swaps
  • Realised volatility
  • Vega and variance
  • Forward variance
  • Practical workshop
  • Value the Mark-to Market of a variance swap
Variance swaps market
  • Key market players and recent developments
  • How to transform volatility anticipation into a product
  • Pricing principles
  • Volatility risk premium
  • Convexity of variance swaps
  • Practical workshop
  • Analyse volatility curves
Using variance swaps
  • Practical workshop
  • Crossing asset classes: equity volatility vs. credit volatility
Replication and hedging
  • From options to variance swaps
  • The Greeks of variance swaps
  • Effects of variance swaps hedging
Volatility swaps and conditional variance swaps
  • Practical workshop
  • Replication of volatility swaps
Understanding correlation
  • Several measures of correlation
  • Historical correlation vs. implied correlation
  • Practical workshop
  • Volatility approach of correlation vs variance approach: study of proxys
Trading correlation products
  • Correlation/dispersion swaps
  • Implied correlation of an index
  • Volatility products between indices and components of basket
  • Historical arbitrage vs. implied arbitrage: trading dispersion
  • Weighted dispersion of implied correlation
  • P&L components of dispersion
  • Risk/return of correlation trades
  • Simple and generalised dispersion of couples of underlyings
  • Practical workshop
  • Analyse and break down a correlation swap
  • Analyse and break down dispersion via variance swaps
New correlation proxy: mean-variance ratio
  • Mean-variance ratio: weighted operations;
  • Generalised dispersion
  • Simple/generalised volatility couples

  • Mastering the first and second sensitivities of options: vega, gamma, theta, vanna, volga
  • Mastering smile calibration and volatility surface
  • Mastering correlation and dispersion issues
  • Managing the convexity of a portfolio of variance swaps
  • Mastering conditional variance swaps
  • Master the notions of implicit and historic correlation
  • Master the notions of implicit and historic arbitrage
  • Mastering dispersion swaps and volatility couples
  • Pricing and practical use of variance swaps
  • Progressive study of the techniques and models used to value correlation and dispersion products in Excel™
  • Exhaustive study of correlation arbitrages
  • Very operational approach based on recent market examples
  • Equity fund managers
  • Derivatives traders
  • Confirmed salespeople
  • Risk controllers
  • Risk management
  • Financial directors
  • Senior middle office personnel
  • Internal controllers / Auditors
  • Financial and structuring engineers
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