NYU Stern
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Symposium on Trading Volatility

 
Since Black and Scholes, option valuation models all require the user to input a value for the volatility of the underlying asset.  Since this is the one model parameter that is not observable, success in trading options and other derivatives with option features frequently comes down to whether the trader can predict volatility better than the market, and how well the trader can hedge against losses from volatility prediction errors. The central role of volatility in option trading has led to extensive research on models of volatility behavior, development of volatility indexes and derivative instruments based on volatility, and a broad range of trading strategies designed to profit from more accurate volatility forecasts and to protect against erroneous forecasts.

The NASDAQ Derivatives Research Project is very pleased to present a symposium on volatility trading, featuring three speakers, each of whom has an extraordinarily broad knowledge of this exciting area, from theoretical research at the highest level to execution strategies on the trading desk.
 
 
Date:
Friday, February 24, 2006                                                                    
Location:
New York University
Stern School
of Business
Kaufman Management Center
Room 1-70
44 West Fourth Street
New York, NY  10012
Direction to Stern  
For directions and maps, click here
Registration        
Admission is free, but please RSVP to the Salomon Center
(salomon@stern.nyu.edu, 212-998-0700)
 
PROGRAM
3:00
 
Welcome
Stephen Figlewski , Director of the NASDAQ Derivatives Research Project
 
 
 
3:05
      
Robert Engle, Director, Center for Financial Econometrics, NYU; 2003 Nobel Laureate in Economics
"Modeling Volatility Behavior"
 
 
 
3:45
 
Jim Gatheral, Managing Director, Merrill Lynch
"Valuation of Volatility Derivatives"
 
 
 
4:30
 
Mike Lipkin, American Stock Exchange LLC and Katama Trading, LLC
"Options Market-Making on an Exchange Floor: Reality, NOT Theory"
 
 
 
5:15
 
Reception