TRADING VOLATILITY

VOLATILITYT rading VOLATILITY , Correlation, Term Structure and SkewTRADINGVOLATILITYC olin Bennett VOLATILITYTRADINGC olin Bennett is a Managing Director and Head of Quantitative and Derivative Strategy at Banco Santander. Previously he was Head of Delta 1 Research at Barclays Capital, and Head of Convertible and Derivative Research at Dresdner started his career in Convertible Bond Research at Merrill Lynch, after studying Mathematics and Electrical Engineering at Cambridge University. In the 1993 National Mathematics Contest Colin came 16th in the UK. He has also worked in Equity Derivative Sales, and as a Desk Analyst for the equity derivative TRADING desk. Colin is a regular speaker at CBOE, Eurex, Marcus Evans, Futures and Option World, Risk Magazine and Bloomberg THE AUTHOR A master piece to learn in a nutshell all the essentials about VOLATILITY with a practical and lively approach.

While standardised exchange traded options only started trading in 1973 when the CBOE (Chicago Board Options Exchange) opened, options were first traded in London from 1690. Pricing was made easier by the Black-Scholes-Merton formula (usually shortened to Black-Scholes), which was invented in 1970 by Fischer Black, Myron Scholes and Robert Merton.

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