Fath, Gabor (Morgan
Stanley)
Smile!
– How to trade volatility
Options are financial products that traders can use to trade market volatility. However, volatility is a multi-dimensional, dynamical property of the market which needs to be properly measured and modelled. I will discuss some of the standard market models designed to understand volatility and options pricing including Black & Scholes’ “constant volatility”, Dupire’s “local volatility” and some famous “stochastic volatility” models like SABR. There will be one key message behind all of this: SMILE!
The talk is held in
English!
Az előadás nyelve angol!
Date: Nov 26, Tuesday
4:15pm
Place: BME, Building „Q”, Room
QBF13