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Derivatives Engineering

Volatility Surface Architecture & Dispersion Trading

Design actionable vol surfaces, dispersion plays, and hedging overlays that thrive across volatility regimes.

⭐ 4.88 · 1,824 reviews👥 5,210 learners🏷️ Level: Advanced
Volatility Surface Architecture & Dispersion Trading
Cohort promo ends Jan 26

What You'll Learn

  • •Construct forward variance curves and vol of vol surfaces.
  • •Engineer dispersion and correlation trades with live execution playbooks.
  • •Automate vol hedging overlays for structured product books.
  • •Stress test vol surfaces with jump processes and tail hedging KPIs.

Who This Course Is For

  • Derivatives PMs and traders extending into listed/OTC dispersion.
  • Risk officers responsible for vol overlays and stress governance.
  • Exotics desk quants building next-gen pricing surfaces.
  • Quant devs integrating vol analytics into trading platforms.

Course Syllabus

5-week intensive · Advanced masterclass · 4 projects · 1 certificates

Module 1 · Vol Surface Foundations

5 lessons · 85 minutes

  • Data hygiene for surface construction
    16 min
  • Forward variance bootstrapping
    18 min
  • Lab: surface calibration notebookLab
    26 min
  • Live: instructor AMALive
    25 min

Module 2 · Dispersion Structuring & Hedging

5 lessons · 92 minutes

  • Correlation modelling regimes
    20 min
  • Dispersion portfolio construction
    19 min
  • Lab: correlation stress harnessLab
    28 min
  • Case clinic: managing gap risk
    25 min

Module 3 · Vol of Vol & Exotic Greeks

4 lessons · 74 minutes

  • Vol of vol metrics & drivers
    18 min
  • Managing vanna & volga exposure
    16 min
  • Lab: exotic Greeks notebookLab
    24 min
  • Mini clinic: structured product overlays
    16 min

Module 4 · Term Structure Diagnostics

4 lessons · 70 minutes

  • Curve shape regimes & roll trades
    17 min
  • Jump detection & tail proxies
    15 min
  • Lab: term structure monitorLab
    22 min
  • Trader AMA: curve dislocationsLive
    16 min

Module 5 · Hedging Automation & Execution

4 lessons · 68 minutes

  • Auto-hedging architectures
    15 min
  • Execution tactics for vol desks
    18 min
  • Lab: hedging bot scaffoldLab
    23 min
  • Desk simulation retrospective
    12 min

Module 6 · Risk, Capital & Margin Analytics

4 lessons · 72 minutes

  • Margin engines & capital efficiency
    16 min
  • Scenario stress grids for vol books
    19 min
  • Lab: stress harness implementationLab
    25 min
  • Workshop: governance scorecardsWorkshop
    12 min

Module 7 · Dispersion Portfolio Workshop

5 lessons · 86 minutes

  • Index vs single-name dynamics
    18 min
  • Automating dispersion monitoring
    17 min
  • Lab: live dispersion dashboardLab
    28 min
  • Peer critique sessionLive
    23 min

Module 8 · Capstone: Volatility Playbook

Project sprint · 120 minutes

  • Capstone kickoff & expectations
    18 min
  • Workshop: dispersion pitch deck buildingWorkshop
    54 min
  • Final presentations & mentor feedbackLive
    48 min

Frequently Asked Questions

Do I need access to derivatives data feeds?

We provide sample datasets and onboarding notebooks. For live trading, you can plug in your desk data via the provided API scaffold.

Is the course self-paced or cohort-based?

Core videos are self-paced. Weekly live sessions and the studio forum run during each cohort for structured accountability.

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