CBOE RMC Europe September 30th Drawing Interest

The CBOE Risk Management Conference Europe at the Penha Longa Resort (Lisbon, Portugal) from September 30th through October 2nd has generated a great deal of interest.


We’ve received a few calls about the agenda and topics, which can be viewed at:  http://www.cboermceurope.com/agenda

Here’s the schedule of topics and speakers Monday:

Volatility Primer and Option Risk Measures (The “Greeks”)
– What does a 25 volatility mean anyway?
– Implied probability distributions
– Volatility characteristics: mean reversion, serial correlation, “vol of vol”, risk premiums
-Dynamic hedging and re-hedging – P/L based on actual future volatility
Timothy Weithers, Co-Director of Education, CTC

The Volatility Surface: Skew and Term-Structure
– Option pricing theory vs. the real world
– Modeling skew and term structure
– The dynamics of the volatility surface
– How the volatility surface impacts strategy selection and risk measurement
Sheldon Natenberg, Co-Director of Education, CTC

VIX ETPs, Interrelationships between Volatility Markets and Implications for Investors and Traders
– A brief overview of index based risk management solutions, e.g., VIX-linked, risk control, low volatility and risk parity
– Design of first and second generation VIX strategy indexes
– Implied volatility distortions and opportunities
– How small trades can have big impacts
Colin Bennett, Managing Director, Head of Equity Derivative Strategy, Banco Santander Central Hispano
Xiaowei Kang, Director, Index Research & Design, S&P Dow Jones Indices
Opening Reception
The agenda, topics, speakers and registration form can be viewed at  http://www.cboermceurope.com/agenda
We’ll give you more information as the date draws closer.  We’re looking forward to seeing you there.