Denise Hubbard

11.00 - 14.00, including lunch.
Registration and coffee from 10.30.

This session focuses on how to profitably and safely deal with some of the issues arising from trading in volatile times. It covers rules of thumb for trading in volatile markets, lessons learned from the ‘big boys’, volatility and time horizons, positions that take advantage of volatility, and risk management.

Audience: Market makers, advanced traders, portfolio managers and professional investors.

This session is also given Wednesday June 11, 18.00 – 20.15.

Denise Hubbard

9.30 - 11.45. Lunch is served at 11.45.
Registration and coffee from 9.00

This session focuses on limited-risk options strategies. It explains why ‘staying spread is staying alive’ and covers topics and strategies such as the covered strangle, iron condors, vertical spreads and fences, and rules of speculation.

Audience: Individual investors, institutional investors not yet in the options market, retail brokers and sales traders looking for new investment ideas for clients.

Dr. Espen Gaarder Haug

14.30 - 17.00
Registration and coffee from 14.00.

This session offers a deeper understanding of the robustness of dynamic delta hedging. Dr. Haug’s presentation covers delta hedging when we have jumps, supply-demand driven options pricing and hedging, as well as options pricing and hedging from a historical perspective. It also covers the Bachelier-Thorp formula and how options traders use it.

Audience: Options traders and investors, market makers, quants, academics and anyone interested in options pricing and hedging. One should be familiar with the Black-Scholes formula, options and the main principles of delta hedging.

Dr. Emanuel Derman

12.30 – 14.45
Registration and lunch from 11.45.

Since the crash of ’87, the implied volatility surface of equity index options, which Black-Scholes says should be flat, has become persistently skewed. This so-called ‘volatility smile’ invalidates the Black-Scholes model. What can replace Black-Scholes for derivatives traders who need new and better theories to value and hedge their positions?

Audience: Traders and other practitioners who work closely with options. The session describes new models of the smile, and aims to explain quantitative issues in a qualitative and intuitive way.
 

Dr. Espen Gaarder Haug

15.15 - 17.30
Registration and coffee from 14.45

This session focuses on advanced Greeks and practical options pricing. Emphasis will be on Greeks on delta, gamma, vega and theta and on probability Greeks – and their use in options pricing and hedging.

Audience: Options traders, market makers and advanced investors using options as well as quants and academics interested in options pricing and hedging. One should be familiar with the Black-Scholes formula, options and the basics of the Greeks.

Denise Hubbard

18.00 - 20.15
Registration and sandwiches from 17.30.

This session focuses on how to profitably and safely deal with some of the issues arising from trading in volatile times. It covers rules of thumb for trading in volatile markets, lessons learned from the ‘big boys’, volatility and time horizons, positions that take advantage of volatility, and risk management.

Audience: Market makers, advanced traders, portfolio managers and professional investors.

This session is also given Tuesday June 10, 11.00 - 14.00.