ITO33/Kite Surf 1st VOLATILITY SUMMIT - London, May 19, 2016 at the Royal Institution
ITO33/Kite Surf 1st VOLATILITY SUMMIT: Everything you always wanted to know about Volatility but were afraid to ask
Among the various issues that will be covered, here is a foretaste:
- Banks and Asset-Managers still have a problem with their volatility surfaces modelling let alone their exotic options risk.
- Why ITO33’s regime switching stochastic Volatility model is the long-awaited solution to this problem of volatility surfaces and volatility arbitrage.
- On the importance of a proper delta one calibration before you run your volatility model.
- On the importance of withholding tax on dividends, seasonality of dividends and borrow rates in the delta one calibration.
- An explanation of the spread between the variance swap curve and the log-k option strips curve. Introduction to a service that can quantify that spread.
- Should S&P options and VIX options be priced separately, or should they be priced in a single and consistent framework?
- Introduction to optimal hedging of equity derivatives.
- The benefit of using sanitised and pre-organised exchange data, together with over-the-counter data.
- The usefulness of virtual instruments in the calibration basket for model parameter stability and dealing with sparse data markets.
- The benefit to your technology and quant departments of outsourcing your model calibration.