The Chicago Board Options Exchange (CBOE) Volatility Index – more commonly known as the “VIX” – was first introduced in 1993 but gained substantial attention from both Wall Street and Main Street during the financial crisis and afterwards. Often referred to in the financial media as the “fear index,” the VIX measures the market’s expectation of the S&P 500 Index’s near-term volatility, and during the 2008 financial crisis the VIX became headline news as market volatility soared to unprecedented levels.

Volatility became a more easily traded asset class in 2004 when the CBOE introduced exchange-traded VIX futures, and with the launch of VIX options in 2006, market practitioners gained yet another way to trade volatility. While VIX futures and options trading volumes have grown dramatically since their launches, many practitioners have experienced challenges in pricing these derivatives and in modeling the VIX.

On July 26, 2012 Dr. Dominic Brecher of Numerix provided an overview of VIX derivatives and VIX modeling considerations for quantitative practitioners.

Dr. Brecher reviewed:

  • Brief history of the VIX
  • Primer on VIX derivatives
  • Introduction to VIX modeling
    • “Model independent” Monte Carlo valuation
    • Analytic methods
    • Calibration
To view the webinar replay, just register on the right side of this page.
Featured Numerix Speakers:

 

Dr. Dominic Brecher, Director of Quantitative Research
Dr. Brecher leads Numerix’s quantitative research efforts in volatility modeling and volatility derivative pricing. He also works on equity and FX pricing models, and has been involved in Credit Value Adjustment (CVA) research, in particular the analytic aspects of CVA. Prior to joining Numerix, he worked as Manager of Options and Volatility Analytics at a derivative analytics provider. Dr. Brecher holds a PhD in theoretical physics from Cambridge University in the UK.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

Register for the On-Demand Webinar

Select Form: 

Form #1: On-Demand Webinar

Keep me informed of future webinars from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
product collateral

Numerix Oneview for the LIBOR Transition | Fact Sheet

product

Oneview for the LIBOR Transition - Accelerate Your Firm’s LIBOR Transition Using Artificial...

on-demand webinar

The LIBOR Transition: A Risk Management Stress Event

newsletter issue - Jun 10, 2020

Thinking Derivatively – June 2020 Newsletter

on-demand webinar

Preparándonos para un mundo sin la tasa Libor

newsletter issue - May 13, 2020

Thinking Derivatively – May 2020 Newsletter

on-demand webinar

The Benefits of Python with Numerix CrossAsset: Migrating Excel Use Cases to Python

fast track course

Content Collection | Numerix MasterClass: LIBOR Reform

on-demand webinar

The LIBOR Transition: Impact of SOFR Switch on Swaptions

newsletter issue - Apr 15, 2020

Thinking Derivatively - April 2020 Issue

on-demand webinar

The LIBOR Transition: Fallback Curve Analysis

quantitative research

Neural Networks with Asymptotics Control