The workshop was given by Mike Lipkin a renowned specialist on Event-Driven Finance and co-author (with Marco Avallaneda) of the paper winning the Risk Magazine Quant-of-the-year award 2010. Designed to appeal to both practitioners and academics, Mike described his path-breaking work on trading attendant to market events, such as earnings announcements or crashes.

his four-part workshop will concentrate on approaches to the modelling and pricing of derivatives in the presence of market events.

Part 1 - Introduction to Events and Event-Driven Trading

When events such as earnings, announcements, news occur they directly effect the pricing of derivative securities not in an average sense, but in more singular ways. We introduce the topic and look at impact to start with.

Part 2 - Pinning

The boundary effect of expiration has a profound impact on the stock process and option volatilities. There is clustering. We look at evidence and theory.

Part 3 - Earnings, Crashes, Expected vs. Unexpected Events

Events pick out a time. Around that special time, the volatility surface will change either continuously or discretely. It turns out that events can be partitioned into two classes: expected and unexpected with significantly different volatility signatures. We examine that.

Part 4 - Introduction to Take-Overs

The acquisition by one company of another company is a large event in terms of price dislocation, volatility changes and capital PnL's. When information is leaked the volatility surface may tell the tale. We look at pre- and post-take-over volatility signatures.

 Click here to download the workshop slides.