New York Institute of Finance

Volatility and Variance Swaps

Available dates

Sep 18, 2020
New York, New York, United States
USD 1116
USD 1116 per day
Sep 18, 2020
Online
USD 1116

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About the course

Develop a deep understanding of volatility instruments. Learn how to price and hedge instruments including volatility swaps, variance swaps and VIX futures and options. Develop important insights into the pros and cons of various volatility trading strategies.

This course is a component of the Advanced Derivatives Professional Certificate.

Prerequisite knowledge:

  • Familiarity with derivative instruments
  • Intermediate to advanced MS Excel skills
  • Intermediate probability and statistics
  • Basic calculus

CURRICULUM

Day 1

MODULE 1: VOLATILITY INSTRUMENTS

  • Volatility swaps
  • Variance swaps
  • Gamma swaps
  • Options on variance
  • VIX futures and options

MODULE 2: VALUATION AND HEDGING

  • Vanilla options: Delta hedging and P&L path dependency
  • Static replication of variance swaps
  • Log contract replication

MODULE 3: VOLATILITY TRADING

  • Volatility trading with vanilla options
  • Trading volatility instruments
  • Forward volatility trading
  • Relative value trading
  • Dispersion trades: Correlation trading
  • Variance term structure trading
  • Skew and convexity trading

** WHAT YOU'LL LEARN**

  • Learn how to measure the observed and implied volatility of asset prices
  • Learn volatility estimation techniques
  • Learn how to price and hedge instruments including volatility swaps, variance swaps and VIX futures and options.
  • Develop important insights into the pros and cons of various volatility trading strategies.

Who should attend

  • Traders
  • desk quants
  • risk analysts and financial engineers

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