TRAINING COURSES > Standard Training Courses > FINANCIAL MARKET PRODUCTS > Training course schedule
#

Dispersion and Correlation Products

LEVEL: INTERMEDIATE LEVEL # #


▪ Understand historical/implicit arbitrages
▪ Predict the risk/potential profit ratio for these products
▪ Construct volatility products between basket products and basket components

▪ Implicit correlation - Intermediate
▪ Historical correlation - Intermediate
▪ Correlation swaps - Intermediate
▪ Dispersion swaps - Intermediate
▪ Volatility pairs - Intermediate

▪ Progressive study of the models and techniques needed to valuate correlation and dispersion products in EXCEL™
▪ Exhaustive study of correlation arbitrages
▪ Rich in technical and practical know-how

▪ Equity fund managers
▪ Junior traders
▪ Confirmed derivatives salespeople
▪ Finance departments
▪ Risk divisions
▪ Senior middle office personnel
▪ Internal controllers & auditors
▪ Financial and structuring engineers


 #
Understanding Correlation
▪Distinctions between different correlation measures
▪Historical correlations vs. implicit correlations
▪Practical Workshop
. Volatility approach vs. variance approach: proxy study
Trading Correlation Products
▪Correlation swaps/dispersion swaps
▪Implicit correlation of an index
▪Volatility products between indices and basket components
▪Historical arbitrage vs. implicit arbitrage: dispersion trading
▪Weighted dispersion of implicit correlation
▪Components of a dispersion’s P&L
▪Risk/return ratio of correlation operations
▪Simple and generalised dispersion on pairs of values
▪Practical Workshop
. Analysis and decomposition of a correlation swap
. Analysis and decomposition of a dispersion via variance swaps
New Correlation Proxy: Mean-Variance Ratio
▪Implementation of the weighted operations of the mean-variance ratio
▪Generalised dispersion operations
▪Simple and generalised volatility pair operations


Contact us !Contact us !Contact us !
#
DATES AND PRICES:
London:
30 Jun 2010(closed)
27 Oct 2010


Prices: 1,100 £


New York:
Date to be confirmed
Prices: 1,500 US$


Hong Kong:
Date to be confirmed
Prices: 1,750 US$

 


DURATION: 1 day

 

REFERENCE: gbdisp

 

 


Select your location for registration:




Participants have rated this course

 

19.3 / 20
#
download