Volatility and Variance Swaps
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.
- Familiarity with derivative instruments
- Intermediate to advanced MS Excel skills
- Intermediate probability and statistics
- Basic calculus
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
- desk quants
- risk analysts and financial engineers