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Baruch MFE First Baruch Volatility Workshop

Baruch.MFE

Academic Coordinator
Last edited:

dstefan

Baruch MFE Director
The First Baruch Volatility Workshop is a three-day, heavily quantitative, leading edge workshop targeted to industry professionals taught by Jim Gatheral and Andrew Lesniewski, experienced practitioners and extensively published volatility researchers, professors in the Baruch College Financial Engineering Program.

Dates: June 16, 2015 (Tuesday) to June 18, 2015 (Thursday), 9:00 am-5:30 pm
Location: Baruch College, 55 Lexington Avenue (at 24th Street), New York

Topics
  • Understanding volatility
  • Heston and SVJ models
  • The interest rate volatility cube
  • The SABR model and its myriad flavors
  • The SVI arbitrage-free volatility surface parameterization
  • Fitting SVI
  • VIX, VVIX, and volatility derivatives
  • Forecasting implied volatility from historical volatility
  • Arbitrage-free SABR
  • Effective local term structure modeling
  • LMM-SABR
  • Risk management with SABR
Audience
  • Market makers
  • Option book runners
  • Proprietary traders
  • Fund managers
  • Risk managers
  • Quantitative analysts
  • Quantitative developers
  • Model validators
  • Regulators
  • Auditors
  • Educators
  • Researchers
  • All those fascinated by the interaction between mathematics, technology and finance
Registration
Early registration (Professional: $1,900; Student: $1,200) is available until May 31, 2015. To register, click here.

Contact
For more information, email Volatility.Workshop@baruch.cuny.edu
 
Last edited:

dstefan

Baruch MFE Director

First Baruch Volatility Workshop by Jim Gatheral and Andrew Lesniewski

June 16-18, 2015, Baruch College, New York


Website: http://mfe.baruch.cuny.edu/volatilityworkshop/
Registration: http://mfe.baruch.cuny.edu/volatilityworkshop-registration/
Contact: volatility.workshop@baruch.cuny.edu

------------------------

A detailed syllabus of the topics that Jim Gatheral will teach in the Volatility Workshop at Baruch College, June 16-18, including suggestions on preparing for the workshop, can be found below.

Early registration is in place until May 31; see http://mfe.baruch.cuny.edu/volatilityworkshop-registration/

------------------------

Syllabus

Session 1: The volatility surface: Statics and dynamics
  • What is the volatility surface?
  • Financial time series stylized facts
  • Stochastic volatility
  • The Bergomi-Guyon expansion
  • Term structure of at-the-money skew
  • The skew-stickiness ratio
  • The volatility envelope
Session 2: Computationally tractable stochastic volatility models
  • Models with closed-form characteristic functions
  • Visualizing the effect of changing model parameters
    • Correlation
    • Volatility of volatility
    • Mean reversion
  • Jumps in the underlying
  • Simultaneous jumps in the underlying and volatility
  • How jumps affect the volatility surface
Session 3: The SVI arbitrage-free volatility surface parameterization
  • No-arbitrage constraints on the tail behavior of implied volatility
  • The SVI parameterization of the volatility smile and its variants
    • Sufficient conditions for no calendar-spread arbitrage
    • Necessary and sufficient conditions for no calendar-s spread arbitrage
    • Arbitrage on a slice
    • How to eliminate arbitrage on a slice
Session 4: Fitting SVI
  • Generating an implied volatility surface from raw index option data
  • The SVI square root parameterization
  • Fitting SVI subject to no-arbitrage constraints
  • Visualization:
    • Total variance plot
    • 3D plot
    • Local variance plot
  • Empirical term structure function
  • Generalizations and alternatives
Session 5: Variance swaps, gamma swaps, VIX, and VVIX
  • Spanning generalized European payoffs
  • The log contract
  • Variances swaps and gamma swaps
  • The VIX index
  • VIX futures and options
  • VVIX
  • Joint modeling of SPX and VIX

Session 6:
  • The time series of historical volatility
    • Scaling properties
  • The RFSV model
  • Forecasting realized variance
  • The time series of variance swaps
  • Relating historical and implied
Prior preparation

Prior reading is not required. However, motivated participants may be interested in reading some or all of the following references:

  • Christian Bayer, Peter Friz and Jim Gatheral, Pricing under rough volatility, Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2554754, (2015).
  • Rama Cont, Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance 1 223-236 (2001).
  • Jim Gatheral, The Volatility Surface: A Practitioner's Guide, John Wiley and Sons, Hoboken, NJ (2006).
  • Jim Gatheral and Antoine Jacquier, Arbitrage-free SVI volatility surfaces, Quantitative Finance, 14(1) 59-71 (2014).
  • Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum, Volatility is rough, available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2509457, (2014).
There will be no requirement for participants to bring laptops. The workshop will be presented in iPython notebook slideshow format with various time series analysis and volatility surface fitting examples demonstrated live using R. Participants will be provided with a link to download both the iPython notebooks and printouts of these notebooks in pdf format. To run the notebooks and the R-code, participants will of course need to install both R and iPython notebook.
 
Last edited:

dstefan

Baruch MFE Director
First Baruch Volatility Workshop by Jim Gatheral and Andrew Lesniewski

June 16-18, 2015, Baruch College, New York



Website: http://mfe.baruch.cuny.edu/volatilityworkshop/
Registration: http://mfe.baruch.cuny.edu/volatilityworkshop-registration/
Contact: volatility.workshop@baruch.cuny.edu

------------------------

A detailed syllabus of the topics that Andrew Lesniewski will teach in the Volatility Workshop at Baruch College, June 16-18, including suggestions on preparing for the workshop, can be found below.

Early registration is in place until May 31; see http://mfe.baruch.cuny.edu/volatilityworkshop-registration/

------------------------

INTEREST RATE VOLATILITY
Andrew Lesniewski

Session 1: Interest Rate Options
1. Overview of fixed income derivatives markets and instruments
2. LIBOR and OIS
3. Basic interest rate derivatives valuation models
4. Heuristics of interest rates volatility
5. Volatility smile on interest rate options

Session 2: The SABR Model and its Flavors
1. Dynamics of the SABR volatility model
2. Monte Carlo simulation of SABR
3. Asymptotic analysis of SABR:
a) Terminal probability distribution
b) Implied volatility
4. Lambda-SABR

Session 3: Arbitrage-Free SABR
1. Implied terminal probability distribution and the butterfly arbitrage
2. Arbitrage-free SABR
3. Boundary conditions at zero forward
4. Dealing with negative rates

Session 4: Term Structure Modeling with Smile
1. Effective local term structure modeling
2. Term structure modeling with stochastic volatility
3. Dynamics of the LMM-SABR model

Session 5: LMM-SABR Model
1. Mean field theory approximation of LMM-SABR
2. Effective calibration
3. Monte Carlo simulation of LMM-SABR

Session 6: Risk Management under Stochastic Volatility
1. Risk management with SABR
a) Risk sensitivities
b) VaR and stress testing
2. Portfolio risk aggregation
 

dstefan

Baruch MFE Director
First Baruch Volatility Workshop by Jim Gatheral and Andrew Lesniewski
June 16-18, 2015, Baruch College, New York

Website:http://mfe.baruch.cuny.edu/volatilityworkshop/
Detailed Program and Topics: http://mfe.baruch.cuny.edu/volatilityworkshop-program/
Registration:http://mfe.baruch.cuny.edu/volatilityworkshop-registration/
Contact: volatility.workshop@baruch.cuny.edu
------------------------

The three-day Volatility Workshop taught by Jim Gatheral and Andrew Lesniewski is now two weeks away.

This leading edge workshop is geared toward industry professionals; 70% of the registrants are practitioners from proprietary trading firms, asset management firms, investment banks, and consulting companies, coming to New York from four different continents.

Companies Attending Include:
Bracebridge Capital, Canada Pension Plan Investment Board, Citadel, Credit Suisse, Jefferies, JPMorgan, Lincoln Financial Group, Macquarie Group, Numerix, PwC, RBCCM, RBS, State Street, TriOptima, V3 Markets

Countries Represented:
Australia, Canada, China, Denmark, India, Korea, Mexico

------------------------

All certified FRM, ERP participants will receive 20 GARP CPE credit hours. The workshop will be tri-annual, to be offered next in 2018.
 
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