LONDON, MAY 19, 2016 AT THE ROYAL INSTITUTION: ITO33/KITE SURF 1ST VOLATILITY SUMMIT

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:

1. Banks and Asset-Managers still have a problem with their volatility surfaces modelling let alone their exotic options risk.
2. Why ITO33's regime switching stochastic Volatility model is the long-awaited solution to this problem of volatility surfaces and volatility arbitrage.
3. On the importance of a proper delta one calibration before you run your volatility model.
4. On the importance of withholding tax on dividends, seasonality of dividends and borrow rates in the delta one calibration.
5. 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.
6. Should S&P options and VIX options be priced separately, or should they be priced in a single and consistent framework?
7. Introduction to optimal hedging of equity derivatives.
8. The benefit of using sanitised and pre-organised exchange data, together with over-the-counter data.
9. The usefulness of virtual instruments in the calibration basket for model parameter stability and dealing with sparse data markets.
10. The benefit to your technology and quant departments of outsourcing your model calibration.

Designed by