The New World of Options Trading: Valuation; Risk and Robust Workflows
05 May 2021
About the event
Any derivatives trading desk -- for vanilla or exotic; listed or OTC -- needs implied borrow curves and volatility surfaces as fundamental building blocks in their workflow. They have to be calibrated to the listed options market of their underliers. Designing fast and robust pricing and fitting algorithms to solve this problem has never been easy; but has become extremely challenging in the last few years. We show how to detect and fix typical problems arising in practice using real-world examples. We also discuss risk management; the limitations of Black-Scholes greeks and “sticky-strike” scenarios; and what to do instead. We concentrate on the equity options market; but also discuss how many of the challenges it had to deal with for a while are now also showing up in the FX and IR world (e.g. W-shaped vol curves due to events).
Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. Fitch Learning is a global leader in training with experience of delivering specialised technical training at all levels to the financial community. Fitch Learning partner with clients to elevate knowledge and skills and enhance conduct.
We work with 9 out of 10 of each of the largest Investment Banks, Asset Managers and Global Banks and through state-of-the-art training centres in London, New York, Hong Kong, Singapore and Dubai, and our leading distance learning portals, we train more than 20,000 delegates each year.
