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Correlation Trading and Risk Management: Practical Masterclass
29. November - 30. November 2017, Kuala Lumpur

8 Excel based hands-on workshops

Real practices used at large financial companies

Advanced Practical Masterclass offered for the first time in Malaysia

KEY TOPICS

Calculating and analyzing historical statistics

The crossgamma conundrum

Dispersion trading

Challenges in marking correlation and measuring its risk

TAKEAWAYS

  • Calculating and analyzing historical statistics

  • Single factor pricing approximation vs. multi factor Montecarlo

  • Short theta, short crossgamma?

  • OBBOs in depth

  • Vega dynamics of dispersion strategies, a simple correlation skew model

  • Build a Gaussian copula, compare to local vol multi factor pricing

  • Risk dynamics and skew exposures of WO, BO, and spread options

  • Impact of marking policies on Greeks

TRAINER

Dr Alberto Cherubini photo
United Kingdom flag United Kingdom

Dr Alberto Cherubini

Principal Consultant at EQ Finance

He was Head of Equity Derivatives Exotic Trading at Citigroup, London. Unique experience of running a wholesale structured book during the severe market crisis of 2008. In his career he has traded m

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MEET US IN KUALA LUMPUR

Kuala Lumpur is the capital of Malaysia. Its modern skyline is dominated by the 451m-tall Petronas Twin Towers, a pair of glass-and-steel-clad skyscrapers with Islamic motifs. The towers also offer a public skybridge and observation deck. The city is also home to British colonial-era landmarks such as the Kuala Lumpur Railway Station and the Sultan Abdul Samad Building.