Equity Volatility Surface Generation
September 12, 2024 at 10am EDT
Equity volatility (“vol”) surfaces are crucial for option trading and risk management. A deep understanding of their generation is essential for the proper use of vol surface data.
However, there are many nuances in generating an accurate and reliable vol surface. And the use of advanced pricing models can contribute to the generation of more robust vol surfaces.
Join Dr. Ping Sun of Numerix on September 12, 2024 at 10am EDT as he covers key aspects of equity volatility surface generation and delves into practical issues and considerations.
Dr. Sun will cover:
- Examples of equity volatility surfaces in the market
- Projection of underlying forward prices of listed options
- Conversion of American option volatilities to European equivalents
- Handling deep in- and out-of-the-money options
- Volatility surface interpolation, extrapolation, and parameterization
- Applying a local volatility model to generate a volatility surface
Featured Speakers
Ping Sun, PhD
Dr. Sun, PhD is Senior Vice President, Financial Engineering at Numerix. He is also product manager of 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 a FX / EQ Desk Quant, and his extensive experience includes working to develop the Numerix cross-currency Economic Scenario Generator. He earned a Doctorate Degree in Physics from City College of New York, and a Master’s Degree and 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, as well as conducting strategic industry research for different departments within Numerix. 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.
