Volatility Forecasting & Trading Strategies 2009

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About The Conference

Both on a national and global level, volatility has been continuing to radically escalate and experience wide swings. While some may use it as a means to hedge their portfolios, others are viewing volatility as an asset class on its own and have implemented ground-breaking arbitrage techniques to transform this recent surge into profits. During the current market crisis, institutional investors, asset managers and market players of all types, are forced to keep a close watch on volatility, while striving to build new strategies and systems to benefit from the vast amounts of returns it can provide. This conference will fill a critical need to examine the evolving strategies, models, performance and different approaches to volatility trading on both a national and global stage. It will be the premier platform that will unite Hedge Funds, Asset Management Firms, Investment Banks, Quantitative Analysts, Portfolio Managers, Heads of Quantitative Research, Exchanges, CEO's and Chief Risk Officers.

Key Topics Covered

  • Navigating through today's high volatility environment
  • Volatility forecasting and market efficiency
  • Volatility arbitrage: state-of-the-art techniques
  • Dealing with volatility: the role of risk management when trading & when under a hedging mandate
  • Trading of volatility indices
  • Global investing in volatility
  • Is algorithmic trading still the best systematic way to make money?

Network With Leading

  • Hedge Funds
  • Asset Management Firms
  • Investment Banks
  • Exchanges
  • CEOs/Portfolio Managers
  • Chief Risk Officers
  • Heads of Quantitative Research/Quantitative Analysts
7:30 am - REGISTRATION & NETWORKING BREAKFAST
8:00 am - CHAIRPERSON’S WELCOME AND OPENING REMARKS
8:15 am - NAVIGATING THROUGH TODAY'S HIGH VOLATILITY ENVIRONMENT
  • Examining the causes of volatility and assessing volatility as an emerging asset class
  • What to do in this high volatility environment and what to do now that volatility is back
  • Is too much volatility good or bad? Consequences for volatility and what you can do about it
  • Examining the effects of the Federal programs on risk and volatility
  • Analyzing equity derivatives dynamics, risk management and return enhancement
Mark S. Longo

Mark S. Longo

Founder

THEOPTIONSINSIDER.COM

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Marko Kolanovic

Marko Kolanovic

Global Head, Derivatives & Delta One Strategy

JP MORGAN SECURITIES, INC.

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Sivan Mahadevan

Sivan Mahadevan

Managing Director

MORGAN STANLEY

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Henry Schwartz

Henry Schwartz

President

TRADE ALERT LLC

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9:15 am - VOLATILITY FORECASTING AND MARKET EFFICIENCY
  • The relative efficiency of historical volatility measures
  • A new approach to volatility forecasting
  • Testing option market efficiency
  • Forecasting volatility in emerging markets
  • Sign dynamics and volatility dynamics: how volatility makes markets predictable
  • The impact of outliners on the measurement of volatility
  • Robust estimators of Volatility and correlation
  • Using Theil- Sen regression to estimate volatility and correlation
  • Applying these results to forecasts of volatility
Thomas Philips

Thomas Philips

Senior Risk Manager

MALBEC PARTNERS

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David Palmer

David Palmer

Senior Trader

HUDSON BAY CAPITAL

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Dr. Jonathan Kinlay, PhD

Dr. Jonathan Kinlay, PhD

Chief Executive Officer

PROTEOM CAPITAL MANAGEMENT LTD

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Jonathan Reiss

Jonathan Reiss

Chief of Research and Development

NEVO CAPITAL

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10:15 am - MORNING NETWORKING BREAK
11:00 am - VOLATILITY ARBITRAGE: STATE-OF-THE-ART TECHNIQUES
  • Overview of volatility derivatives arbitrage, and constructing a solid, implied volatility surface
  • Arbitraging different estimates of historical volatility
  • Estimating static & dynamic skew arbitrage
  • Effectively utilizing sticky delta and sticky moneyness
  • Observing the links between options and determining the right fit for a portfolio
  • Arbitrage pricing of equity correlation swaps 
Peter Carr

Peter Carr

Head of Quantitative Financial Research

BLOOMBERG LP

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Philippe Combescot

Philippe Combescot

Director of Global Structuring Group

BNP PARIBAS

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12:00 pm - NETWORKING LUNCHEON
1:00 pm - DEALING WITH VOLATILITY: THE ROLE OF RISK MANAGEMENT WHEN TRADING & WHEN UNDER A HEDGING MANDATE
  • Applying best practice risk management techniques for evaluating volatility arbitrage
  • Using volatility as an insurance for your portfolio while still ensuring returns/alpha
  • Analyzing VaR and expected shortfall if volatility is infinite
  • Utilizing volatility as a liquidity crisis hedge
  • Examining volatility, vol of vol, correlation and dispersion
  • Integrating hedge fund risk within the total portfolio risk
  • Buying volatility using overlay strategy
  • Integrating options and volatility trading into an currency overlay strategy
Kenneth Winston

Kenneth Winston

Chief Risk Officer

WESTERN ASSET MANAGEMENT

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Brian Chen

Brian Chen

Managing Director, Quantitative Strategies

BAY HILL CAPITAL

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Ivan O. Asensio

Ivan O. Asensio

Senior Vice President

FX RISK ADVISORY, HSBC BANK USA

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1:45 pm - TRADING OF VOLATILITY INDICES
  • Examining indices in today\'s market and how to effectively trade during uncertain periods
  • Evaluating volatility options and volatility derivatives
  • Defining VIX options and how to use them to protect your portfolio
  • Hedged intermarket positions: trading $VIX against $SPX
  • Trading the term structure with $VIX options
Bud Haslett

Bud Haslett

Head of Risk Management, Derivatives and Alternative Investments

CFA INSTITUTE

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Matthew Moran

Matthew Moran

Vice President

CHICAGO BOARD OF EXCHANGE (CBOE)

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Lawrence McMillan

Lawrence McMillan

President

MCMILLAN ANALYSIS CORPORATION

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Jeremy Wien

Jeremy Wien

Index Vol Trader

SOCIETE GENERALE

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2:30 pm - AFTERNOON NETWORKING BREAK
3:00 pm - GLOBAL INVESTING IN VOLATILITY
  • Evaluating the FX market and how to capitalize
  • Relative value trading in FX volatility and correlation
  • Modeling return and conditional volatility exposures in global stock markets
  • Risk management in global markets as it relates to trading volatility
  • Examining the structure of global equity returns: currency, industry and country effects
  • Assessing which commodity trading models thrive in certain markets during high volatility
  • Modeling volatility and jump risk premia and the impact of spot price jumps on volatility derivatives
Yann Coatanlem

Yann Coatanlem

Managing Director, Multi-Asset Quantitative Research

CITIGROUP GLOBAL MARKETS

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Krishna Kumar

Krishna Kumar

FX Structuring

BARCLAYS CAPITAL

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3:45 pm - IS ALGORITHMIC TRADING STILL THE BEST SYSTEMATIC WAY TO MAKE MONEY?
  • Utilizing algorithms to successfully reduce market impact
  • Measuring the effectiveness of such algorithms and the effects on futures processing
  • The growth of algorithmic trading on in the FX market and how to keep up 
  • Understanding the consequences of FIXaddl and its effects for 2009
  • Examining the use of financial market news as a form of algorithmic trading
  • Avoiding delay in getting quotes to traders, security and front running, and the possibility of a complete system breakdown leading to a market crash
James T. Leman

James T. Leman

Principal

WESTWATER CORP.

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Jesper Alfredson

Jesper Alfredson

VP Sales Engineering & Services

ORC SOFTWARE

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Hendrik Klein

Hendrik Klein

Chief Executive Officer

DA VINCI INVEST LTD.

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Michael Scanlon

Michael Scanlon

Managing Director

HEDGECO SECURITIES

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4:30 pm - CHAIRPERSON’S SUMMARY & NETWORKING RECEPTION

Speakers

Peter Carr

Peter Carr

Head of Quantitative Financial Research

BLOOMBERG LP

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Bud Haslett

Bud Haslett

Head of Risk Management, Derivatives and Alternative Investments

CFA INSTITUTE

Previously Haslett served as director of option analytics for Miller Tabak + Co., LLC and CEO of Miller Tabak

View More

Mark S. Longo

Mark S. Longo

Founder

THEOPTIONSINSIDER.COM

Mark S. Longo is the founder of The Options Insider.com. An options trader and former member of the Chicago Board

View More

Marko Kolanovic

Marko Kolanovic

Global Head, Derivatives & Delta One Strategy

JP MORGAN SECURITIES, INC.

Marko Kolanovic is Global Head of Equity Derivatives and Delta One Strategies at J.P. Morgan. His team is

View More

Matthew Moran

Matthew Moran

Vice President

CHICAGO BOARD OF EXCHANGE (CBOE)

Matthew T. Moran is Vice President, Business Development, for the Chicago Board Options Exchange (CBOE), and is

View More

Philippe Combescot

Philippe Combescot

Director of Global Structuring Group

BNP PARIBAS

Philippe Combescot is a director at BNP Paribas Equities & Derivatives, where he works in the Global

View More

Sivan Mahadevan

Sivan Mahadevan

Managing Director

MORGAN STANLEY

Sivan Mahadevan is a Managing Director of Morgan Stanley and head of Global Credit Derivatives and Structured

View More

Thomas Philips

Thomas Philips

Senior Risk Manager

MALBEC PARTNERS

View More

Yann Coatanlem

Yann Coatanlem

Managing Director, Multi-Asset Quantitative Research

CITIGROUP GLOBAL MARKETS

Yann Coatanlem is a Managing Director in Citi Institutional Client Group and head of the Multi-Asset quantitative

View More

James T. Leman

James T. Leman

Principal

WESTWATER CORP.

James T. Leman is currently a principal and Capital Markets Head of Westwater Corp., a management and technology

View More

Jesper Alfredson

Jesper Alfredson

VP Sales Engineering & Services

ORC SOFTWARE

View More

Lawrence McMillan

Lawrence McMillan

President

MCMILLAN ANALYSIS CORPORATION

Lawrence G. McMillan is the author of Options as a Strategic Investment, the best-selling work on stock and index

View More

Krishna Kumar

Krishna Kumar

FX Structuring

BARCLAYS CAPITAL

Krishna Kumar is currently FX Structurer at Barclay's Capital, prior to this he was with Citigroup for five years

View More

Kenneth Winston

Kenneth Winston

Chief Risk Officer

WESTERN ASSET MANAGEMENT

Kenneth Winston is chief risk officer at Western Asset Management where he leads the analytics and risk management

View More

Brian Chen

Brian Chen

Managing Director, Quantitative Strategies

BAY HILL CAPITAL

Brian Chen is Managing Director, Quantitative Strategies, at Bay Hill Capital Management. He built the

View More

David Palmer

David Palmer

Senior Trader

HUDSON BAY CAPITAL

David Palmer\'s Specialties: Flow trading, volatility trading and portfolio risk management. Derivatives trader

View More

Dr. Jonathan Kinlay, PhD

Dr. Jonathan Kinlay, PhD

Chief Executive Officer

PROTEOM CAPITAL MANAGEMENT LTD

Dr Jonathan Kinlay is the chief executive of the investment research and consulting firm Investment Analytics and

View More

Hendrik Klein

Hendrik Klein

Chief Executive Officer

DA VINCI INVEST LTD.

Hendrik Klein is an expert in volatility arbitrage strategies, alternative investments and the Head Portfolio

View More

Henry Schwartz

Henry Schwartz

President

TRADE ALERT LLC

Henry Schwartz has traded equity derivatives on US and European exchanges for nearly 20 years. His experience

View More

Ivan O. Asensio

Ivan O. Asensio

Senior Vice President

FX RISK ADVISORY, HSBC BANK USA

Ivan O. Asensio is a Senior Vice President and member of HSBC\'s Global FX team, based in New York. In this

View More

Jeremy Wien

Jeremy Wien

Index Vol Trader

SOCIETE GENERALE

Jeremy Wien joined Société Générale in December 2007 to start and grow the VIX business. Currently, he manages

View More

Jonathan Reiss

Jonathan Reiss

Chief of Research and Development

NEVO CAPITAL

Jonathan Reiss is Chief of Research and Development for Nevo Capital, a private trading firm. He is also founder

View More

Michael Scanlon

Michael Scanlon

Managing Director

HEDGECO SECURITIES

View More

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  • You may substitute delegates at any time. iGlobal Forum does not provide refunds for cancellations.
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  • Please note that speakers and topics were confirmed at the time of publishing, however, circumstances beyond the control of the organizers may necessitate substitutions, alterations or cancellations of the speakers and/or topics. As such, iGlobal Forum reserves the right to alter or modify the advertised speakers and/or topics if necessary. Any substitutions or alterations will be updated on our web page as soon as possible.

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Peter Carr

Peter Carr

Head of Quantitative Financial Research

BLOOMBERG LP

View More

Bud Haslett

Bud Haslett

Head of Risk Management, Derivatives and Alternative Investments

CFA INSTITUTE

Previously Haslett served as director of option analytics for Miller Tabak + Co., LLC and CEO of Miller Tabak Capital

View More

Mark S. Longo

Mark S. Longo

Founder

THEOPTIONSINSIDER.COM

Mark S. Longo is the founder of The Options Insider.com. An options trader and former member of the Chicago Board

View More

Marko Kolanovic

Marko Kolanovic

Global Head, Derivatives & Delta One Strategy

JP MORGAN SECURITIES, INC.

Marko Kolanovic is Global Head of Equity Derivatives and Delta One Strategies at J.P. Morgan. His team is responsible

View More

Matthew Moran

Matthew Moran

Vice President

CHICAGO BOARD OF EXCHANGE (CBOE)

Matthew T. Moran is Vice President, Business Development, for the Chicago Board Options Exchange (CBOE), and is

View More

Philippe Combescot

Philippe Combescot

Director of Global Structuring Group

BNP PARIBAS

Philippe Combescot is a director at BNP Paribas Equities & Derivatives, where he works in the Global Structuring

View More

Sivan Mahadevan

Sivan Mahadevan

Managing Director

MORGAN STANLEY

Sivan Mahadevan is a Managing Director of Morgan Stanley and head of Global Credit Derivatives and Structured Credit

View More

Thomas Philips

Thomas Philips

Senior Risk Manager

MALBEC PARTNERS

View More

Yann Coatanlem

Yann Coatanlem

Managing Director, Multi-Asset Quantitative Research

CITIGROUP GLOBAL MARKETS

Yann Coatanlem is a Managing Director in Citi Institutional Client Group and head of the Multi-Asset quantitative

View More

James T. Leman

James T. Leman

Principal

WESTWATER CORP.

James T. Leman is currently a principal and Capital Markets Head of Westwater Corp., a management and technology

View More

Jesper Alfredson

Jesper Alfredson

VP Sales Engineering & Services

ORC SOFTWARE

View More

Lawrence McMillan

Lawrence McMillan

President

MCMILLAN ANALYSIS CORPORATION

Lawrence G. McMillan is the author of Options as a Strategic Investment, the best-selling work on stock and index

View More

Krishna Kumar

Krishna Kumar

FX Structuring

BARCLAYS CAPITAL

Krishna Kumar is currently FX Structurer at Barclay's Capital, prior to this he was with Citigroup for five years first

View More

Kenneth Winston

Kenneth Winston

Chief Risk Officer

WESTERN ASSET MANAGEMENT

Kenneth Winston is chief risk officer at Western Asset Management where he leads the analytics and risk management

View More

Brian Chen

Brian Chen

Managing Director, Quantitative Strategies

BAY HILL CAPITAL

Brian Chen is Managing Director, Quantitative Strategies, at Bay Hill Capital Management. He built the quantitative

View More

David Palmer

David Palmer

Senior Trader

HUDSON BAY CAPITAL

David Palmer\'s Specialties: Flow trading, volatility trading and portfolio risk management. Derivatives trader with

View More

Dr. Jonathan Kinlay, PhD

Dr. Jonathan Kinlay, PhD

Chief Executive Officer

PROTEOM CAPITAL MANAGEMENT LTD

Dr Jonathan Kinlay is the chief executive of the investment research and consulting firm Investment Analytics and

View More

Hendrik Klein

Hendrik Klein

Chief Executive Officer

DA VINCI INVEST LTD.

Hendrik Klein is an expert in volatility arbitrage strategies, alternative investments and the Head Portfolio Manger at

View More

Henry Schwartz

Henry Schwartz

President

TRADE ALERT LLC

Henry Schwartz has traded equity derivatives on US and European exchanges for nearly 20 years. His experience includes

View More

Ivan O. Asensio

Ivan O. Asensio

Senior Vice President

FX RISK ADVISORY, HSBC BANK USA

Ivan O. Asensio is a Senior Vice President and member of HSBC\'s Global FX team, based in New York. In this current

View More

Jeremy Wien

Jeremy Wien

Index Vol Trader

SOCIETE GENERALE

Jeremy Wien joined Société Générale in December 2007 to start and grow the VIX business. Currently, he manages the

View More

Jonathan Reiss

Jonathan Reiss

Chief of Research and Development

NEVO CAPITAL

Jonathan Reiss is Chief of Research and Development for Nevo Capital, a private trading firm. He is also founder and

View More

Michael Scanlon

Michael Scanlon

Managing Director

HEDGECO SECURITIES

View More

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