This programme gives you a deep understanding of the key differences between volatility models and their implications for trading and risk management.

The course starts by analysing the role of volatility in current financial markets including the causes and impact of volatility smiles on a variety of financial products. This leads into practical sessions covering techniques for trading volatility, and the application of a range of volatility derivatives such as volatility swaps, volatility futures and volatility options.

The final part of the programme covers the treatment of volatility in the more popular stochastic volatility models used in the industry such as SABR and Heston and provides insights into the most relevant approaches to modelling volatility under current market conditions.