Internship on Futures on Volatility : January 2010 or later, for 4-6 months.

A new asset class within the world of financial derivatives has recently emerged a decade ago: volatility itself and futures on volatility. Pricing such esoteric instruments requires a knowledge of the kurtosis of the distribution curve, which is a difficult information to obtain. It also requires the advent of models which take into account jumps in the distribution of asset prices such as variance-gamma or Heston models. We propose an internship research subject that aims at understanding the behaviour of futures on volatility and the implementation of arbitrage strategies based on algorithms and trading robots that will make transactions in the market. The robots are going to be built in-house, leveraging on a lot of tools that we have developed. Among the different mathematics subjects that will be handled : volatility of volatility, skewness, gamma hedging, real-time pricing, log contracts. Who should apply ? Students from Polytechnique, Telecom Paris, Mines de Paris, and Centrale Paris. DEA from P6 and P7 are also admitted only if they graduated from one of the previous schools. Dates are flexible, starting from January 2010 or later, for a length of 4 to 6 months. Location : Paris, France. Email: stages@arbitragis.com Open PDF file for more.

futures_de_volatilite.pdf — PDF document, 96Kb