Volatility and Variance Swaps

New York Institute of Finance

ITEM TRAD0301

13 Sep 2024 - 13 Sep 2024

09:00 AM - 04:30 PM

$1,395.00

group

In-person (NY Campus)

update

1

language

English

school

Advanced

13 Sep 2024 - 13 Sep 2024

09:00 AM - 04:30 PM

$1,395.00

videocam

Virtual (Full-time)

update

1

language

English

school

Advanced


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17

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.

CPE Credits: 7

This course is a component of the Advanced Derivatives Professional Certificate.

Prerequisite knowledge:

  • Familiarity with derivative instruments
  • Intermediate to advanced MS Excel skills
  • Intermediate probability and statistics
  • Basic calculus

Learn now pay later with

To make it even easier to learn, you can finance your program through Affirm.

Loans offered through Affirm are available in the U.S. and Canada.

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  • Flexible payments

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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
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Volatility and Variance Swaps

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$1,395.00

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