The programme aims to provide a sound understanding of the up-to-date practical realities of trading and risk managing correlation, especially equity and equity/forex.
The course will draw heavily from recent markets case studies, and the real practices used at large financial companies, highlighting the weaknesses and pitfalls where needed.
During the Excel based workshops students will have access to proprietary state-of-the-art professional software for exotic and multi-underlying pricing, thus gaining an understanding of multifactor pricing models and higher order exotic effects on risk exposures.
Who The Course is For
This program is eligible for 16 Continuing Education credit hours from the CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.
Correlation vs. covariance, implied vs. realized
Workshop 1: calculating and analyzing historical statistics
Key products: Baskets and OBBOs
Workshop 2: single factor pricing approximation vs. multi factor Montecarlo
The crossgamma conundrum
Workshop 3: short theta, short crossgamma?
Workshop 4: OBBOs in depth
Multi factor pricing with local volatilities and Gaussian copulas
Workshop 5: build a Gaussian copula, compare to local vol multi factor pricing
Workshop 6: vega dynamics of dispersion strategies, a simple correlation skew model
Key products: WO, BO and outperformance options
Workshop 7: risk dynamics and skew exposures of WO, BO, and spread options
Key products: Realized correlation swaps
Challenges in marking correlation and measuring its risk
Workshop 8: impact of marking policies on greeks
Running correlation risks
Correlation skew modelling
The quantos and others: equity/forex correlation
Related links: PDF OUTLINE DOWNLOAD
34 Curlew Street
SE1 2ND London
Use our smart tools should you wish to
- Buy or Sell
- Find a Job
- Invest or Raise Funds