Course Highlights:

• Variance swaps and options
• Relative value trading in FX volatility and correlation
• Modelling and forecasting volatility
• Modeling and trading of volatility arbitrage
• Stochastic-clock methods for pricing and hedging volatility derivatives
• Multi frequency volatility
• Equity dispersion trading
• The growing field of equity vs. credit trades

Course Tutors

NEW YORK

• Philippe Combescot BNP PARIBAS
• Bruno Dupire BLOOMBERG LP
• Patrick Kremer CONQUEST CAPITAL GROUP
• Krishna Kumar BARCLAYS CAPITAL
• Roger Lee UNIVERSITY OF CHICAGO
• Eric Liverance, UBS
• Olivier Sarfati BARCLAYS CAPITAL
• Paul Stevens CBOE

LONDON

• Roger Lord RABOBANK
• Aaron Brask BARCLAYS CAPITAL
• Laurent E Calvet IMPERIAL COLLEGE LONDON
• Alexis Collomb CITIGROUP
• Luis de Juan SOCIETE GENERALE ASSET MANAGEMENT
• Emmanuel Gincberg CALYON
• Peter Van Kleef LAKEVIEW ARBITRAGE