CBOE Risk Management Conference: Day Three Agenda

CBOE’s Risk Management Conference (RMC) in Bonita Springs Florida from March 17th – 19th, 2014 is fast approaching.  If you’re a financial professional interested in learning the latest risk management techniques, how to trade and hedge volatility, or simply master equity derivatives fundamentals, CBOE’s Risk Management Conference is the event to attend


Wednesday, March 19, 2014

7:15 – 8:00

Buffet Breakfast

8:00 – 9:00

Keynote Speaker: Carl R. Tannenbaum, Senior Vice President, Chief Economist, Northern Trust                 

Turning the Corner: A New Phase for Growth and for the Federal Reserve              


9:00 – 9:15

Session break




9:15 – 10:30

Design and Management of Low Volatility Products by Insurance Companies 

 – New product designs including volatility control products, low volatility by stock selection and VIX-linked structures

– Managing risk of low volatility products

– Special considerations for insurance companies

– Hedging challenges presented by exotic optionality within Fixed Indexed Annuities

 Alan Grissom, Global Head of Insurance,  S&P Dow Jones Indices

 Chris Quallan, Vice President, Derivative Trading, 40/86 Advisors

 Barry S. Seeman, Global Head of Derivatives Structuring, AEGON

Volatility of Volatility

 – An analysis of volatility of volatility surfaces, including the VIX of VIX index, ticker VVIX

– Historical observations and interpretations

– Trading and hedging applications


John-Mark Piampiano, Portfolio Manager, Global Volatility, Pine River Capital Management

 Edward K. Tom, Head, Equity Derivatives Strategy, Credit Suisse


10:30 – 11:00

Coffee break

11:00 – 12:15

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

 Trevor Mottl, Head of Macro and Derivatives Strategy, Susquehanna Investment Group

 Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC

Alternative Products for Locking in Volatility Targets

 – The spectrum of volatility products including variance swaps, VIX and fixed strike options

– Replication of exposures and optimal hedging techniques

– Design of TIXX futures that are based on realized variability

– Pricing theory and trading applications

 Bruno Dupire, Head of Quantitative Research, Bloomberg

 Thong Wei Koh, Trader, CSS LLC and Co-Founder, Kinetic Laboratory


End of Conference sessions

 The afternoon will have networking events and golf, followed by a closing dinner.

For more information about RMC: http://www.cboermc.com/

To register for RMC:  https://attendeetrack.wufoo.com/forms/2014-cboe-risk-management-conference/