Primer on Volatility Modeling (APAC Live Session)
With market uncertainty continuing to shape trading and portfolio decisions across global markets, many practitioners are exploring how to trade volatility in order to profit from changing volatility regimes, skew dynamics, and surface dislocations.
But modeling volatility is not necessarily easy, and many variance and volatility products require sophisticated modeling to capture market behavior that cannot be addressed by replication-based approaches.
Join Dr. Ping Sun of Numerix on June 24 at 10am SGT for a live APAC-time-zone session offering a quantitative perspective on modeling volatility, with time reserved for audience questions. This discussion will be valuable for volatility traders, portfolio managers, and quantitative practitioners working in this domain.
Dr. Sun will cover:
- Introduction to the volatility landscape
- Key instruments for trading volatility
- Best practices in modeling volatility
- From theory to practice: valuation meets reality
Featured Speakers
Ping Sun, PhD
Ping Sun, PhD is Senior Vice President and Head of Quantitative Research at Numerix, responsible for overseeing the company’s quantitative research globally. Previously, he led the Financial Engineering team for the Americas and acted as the product manager for the Numerix CrossAsset analytics platform.
During his career at Numerix, Dr. Sun’s work has appeared in number of publications and academic journals, and he has been showcased as a lecturer at a range of academic events and industry conferences. Dr. Sun served as a consultant to Lehman Brothers as an FX / Equity Desk Quant, and his extensive experience encompasses pricing exotic derivatives across various asset classes, as well as crafting sophisticated algorithms for generating and cleansing volatility surfaces in equity and foreign exchange markets.
He earned a Doctorate Degree in Physics from City College of New York, and an Undergraduate Degree in Physics from Fudan University in Shanghai, China.
Greg Murray
Greg Murray is responsible for increasing awareness of the Numerix brand in financial markets around the globe and contributing to Numerix’s strategic growth initiatives. Previously, he oversaw product and field marketing initiatives at the company, and he started his tenure in a sales role. Prior to Numerix, Mr. Murray worked in derivative analytics sales roles at other software firms, and he held derivative trading positions for seven years as an option market-maker and proprietary trader across a variety of asset classes.
