TRAINING COURSES > Standard Training Courses > FINANCIAL MARKET PRODUCTS > Training course schedule
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Variance Swaps and Conditional Variance Swaps

LEVEL: ADVANCED LEVEL # #


▪ Manage the convexity of a variance swap portfolio
▪ Manage a variance swap portfolio in delta-neutral
▪ Understand skew sensitivity
▪ Understand sensitivity to volatility jumps
▪ Master conditional variance swaps

▪ Option replication - Advanced
▪ The Greeks: vega, gamma, theta, vanna, volga - Advanced
▪ Volatility smile - Advanced
▪ Correlation and dispersion - Advanced
▪ Volatility curve and surface - Advanced

▪ Pricing and using variance swaps
▪ Calculate variance swap sensitivities in EXCEL™
▪ Assimilate the techniques of convexity management
▪ Assimilate option replication techniques

▪ Asset managers
▪ Equity derivatives traders
▪ Sales
▪ Risk controllers


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Variance Swaps: Mechanics
▪Realised volatility
▪Vega and variance
▪Forward variance
▪Practical Workshop
. Price variance swaps and perform a mark-to-market valuation
Variance Swap Market
▪Growth and market participants
▪How to turn volatility expectations into a product
▪Basic rules of pricing
▪Volatility risk premium
▪Convexity of variance swaps
▪Variance swap matrix and curve
▪Practical Workshop
. Analyse a volatility curve
Variance Swaps: Uses
▪Single stock volatilities
▪Volatility spikes
▪Skew and convexity operations
▪Practical Workshop
. Cross asset-class deals: equity vs credit volatility
Replication and Coverage
▪From options to variance swaps
▪Variance swap Greeks
▪Effects of variance swap hedging
Volatility Swaps and Conditional Variance Swaps
▪Practical Workshop
. Replication


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DATES AND PRICES:
London:
17-18 Jun 2010(closed)
06-07 Dec 2010


Prices: 1,175 £


New York:
Date to be confirmed
Prices: 1,600 US$


Hong Kong:
Date to be confirmed
Prices: 1,850 US$

 


DURATION: 1 day

 

REFERENCE: gbvarian

 

 


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