Investment Education PLC
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Volatility Derivatives Modelling
Last Updated - 26 June 2013
Todays Date -
Return to CoursePrint course
Duration 1 day
LondonFurther dates available on request
Fee  580 + VAT

 

Objective:

To provide a practical guide to Volatility Derivatives Modelling.  A mid level quant expertise is assumed.

 

Outline:

- Volatility Derivatives The Products and Uses
     
Historical Volatility Products

      Implied Volatility Products
      VIX Futures and Pricing
      Simple Volatility Strategies
      Log Profile and Option Prices
      VIX Replication Method
      Bias Estimation
      Linking various Volatility Products

 

- Modelling Volatility Derivative Products

      A History of Volatility Modelling
      Stochastic Volatility Modelling
      Link Skew
      Volatility of Volatility
      Carr-Lee Approach

 

- The Skorohod Problem

      The Skorohod Problem
      Continous Martingales
      A canonical mapping
      Example - A solution by Roots

 

- Lower Bound of Modelling

      Spot Conditioning
      The Main Argument
      Delta Hedging Calendar Time and Business Time
      Lower Bound Strategy
      Daily P& L Variation
      Tracking Error Comparison
      Hedge and Lower Bound for Variance Call
      Arbitrage Summary
    

- Final Thoughts and Conclusion