Jul 2, 2014 · 7:30 PM
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FULL TITLE: Systematic FX gamma trading
NOTE: I spoke on this topic earlier at LQG, which sold out (and I know some of you couldn't get tickets). Hence, due to popular demand I am re-running the talk at the Thalesians complete with the full slide set, which I wasn't able to go through fully at LQG. Also there are no World Cup games on the evening, another reason to come!
ABSTRACT: In this presentation we shall examine the properties of implied and realised volatility. Later, we shall develop vol trading strategies and look at how delta hedging impacts the P&L of these strategies. Finally, we shall ascertain the sensitivity of our vol trading model with respect to other factors like transaction costs and scheduled events.
Saeed Amen is a Managing Director and a Co-founder at Thalesians Ltd.
Saeed is currently publishing ground-breaking quant strategy notes at Thalesians Ltd., drawing upon nearly a decade of experience both creating and running systematic trading models successfully with real cash. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX. He is currently also writing a book on trading which is due to be published by Palgrave Macmillan (preliminary title: Trading Thalesians - What the ancient world can teach us about trading today)
Saeed started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic FX prop trading book and conducted research around high frequency FX including economic events. Later he was at Nomura as an Executive Director in Quantitative Strategy, also in FX, developing their model infrastructure and also running systematic FX prop risk. He graduated from Imperial College with a first class honours master's degree in Mathematics and Computer Science.