Pricing Derivatives without Volatility Data: A Real-Life Emerging Markets Example
Why Attend
Learn how to use advanced quantitative methods to construct a stable volatility surface in illiquid markets, including a live demo showcasing how Numerix CrossAsset can be utilized for this task.
Presenter
Christopher Liu, PhD, Senior Financial Engineer, Numerix
In financial markets, the ability to accurately assess and navigate volatility is crucial for success. This is especially true in illiquid markets, where price movements can be more abrupt, unpredictable and even unobserved.
When pricing derivatives in emerging markets, the lack of volatility data can cause significant challenges. What are different ways that practitioners can overcome this problem?
Join Dr. Christopher Liu of Numerix as he delves into traditional methods of modeling volatility, as well as approaches that Numerix has integrated into its products, using a case study from the Greater China market.
During this webinar, Chris provides a quantitative perspective on the topic, including a live demonstration using Numerix CrossAsset. He covers:
- The current state of the Greater China market
- Traditional approaches to unobserved volatility
- Brief outline of the methodology used in Numerix software
- Live demo showcasing how Numerix CrossAsset can be used for this task
- Potential extensions offered by CrossAsset
Featured Speakers
Christopher Liu, PhD
Chris is a Financial Engineer with three years of experience in Greater China, currently serving in a role at Numerix where he develops and implements financial models and solutions for clients. Prior to Numerix, he completed a doctoral internship at HKIMR, where he gained valuable insights into managing crash risk with unobservable measures. Chris holds a PhD and a BSc in physics from the Chinese University of Hong Kong, providing him with a solid foundation in quantitative analysis and problem-solving skills.
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.
