Volatility Management Master-Class

Volatility is often heralded as a new asset class. Nothing could be further from the truth. In today’s closely connected markets, it is of vital importance to understand how to model, interpret and use volatility not only to protect assets but to generate profits from otherwise hurtful market environments. The unique features of volatility make it a difficult product for the un-initiated. Practical hands on examples in this master-class help you see through the polemic surrounding volatility trading and offer real life practical guidance to successfully trade volatility, in directional or as an alpha generating arbitrage strategy. Find out how you can take advantage of the idiosyncrasies in the Russian market (eg constant change and backdated dividends) and other aspects of an illiquid market. Key areas of focus will include:

• Implied vs. realised volatility
• Volatility dynamics across skew and term
• Impact of volatility levels on strategies
• Volatility of volatility
• Impact of liquidity on strategy implementation and position hedging
• Risk management principals

Peter van Kleef, Partner, LAKEVIEWCAPITAL MARKET SERVICES

Prior to his role at Lakeview, Peter managed significant hedge fund type investment portfolios and quantitative trading departments for among others Cooper Neff, Salomon Brothers, HypoVereinsbank and Credit Lyonnais. He has over ten years of experience in the development and running of sophisticated automated trading operations.