Modelling Volatility

New York
1 & 2 December 2008
London
8 & 9 December 2008

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Volatility models and their impact on pricing and risk
Heston's stochastic volatility model
Modeling of variance and volatility swaps for financial markets with stochastic volatilities
Stochastic volatility models and products
Equity volatility vss credit spreads
Volatility modelling for commodity underlyings
VIX futures and VIX options
A simple robust link between American Puts and Credit Insurance

NEW YORK 1 & 2 December 2008			VENUE DETAILS	Book now
LONDON 8 & 9 December 2008			VENUE DETAILS	Book now

Hyungsok Ahn
Head of Equity Derivative Quant Research, NOMURA INTERNATIOAL

Boris Le Blanc
Co-head Equity and Derivatives Research, BNP PARIBAS

Jian Chen
Quantitative Analyst, RBS

Vladimir Lucic
Equity Derivatives Quantitative Analyst, BARCLAYS CAPITAL

William McGhee
MD, Global Head, FX Quantitative Strategy Group, CITIGROUP

Ser-Huang Poon
Professor of Finance, MANCHESTER BUSINESS SCHOOL

Julien Turc
Head of Quantitative Strategy, SOCIETE GENERALE

Constaintin Dan Cazacu
Associate Quantitative Derivatives Strategist, ING USFS ANNUITIES MARKET RISK MANAGEMENT

Peter Carr
Head of Quantitative Financial Research, BLOOMBERG

George Jiang
Associate Professor, UNIVERSITY OF ARIZONA

Kris Kumar
FX Structurer, BARCLAYS CAPITAL

Roger Lee
Assistant Professor, UNIVERSITY OF CHICAGO

Eric Liverance
Executive Director, Head of Interest Rate Derivatives Strategy, UBS INVESTMENTS

Yong Ren
Director of Research, Saba Principles Strategies, DEUTSCHE BANK

Paul Staneski
Head of Derivatives Solutions & Training, CREDIT SUISSE

By the end of this course delegates will be able to:

Use option pricing under stochastic volatility
Evaluate valuation techniques with Heston's model
Model approaches for linking variance and forward volatility products
Understand how different models price exotics - the dynamics of the forward smile
Forecast volatility in commodity markets
Use VIX futures and options to guide the volatility surface
Apply stochastic volatility models for pricing and hedging derivatives