Option Volatility for excel (Kevin B. Connolly)
Kevin B. Connolly used to be Head of Quantitative Research at James Capel & Co. He then joined Cresvale International Asset Management as Director responsible for instituting scientific risk management for Cresvale’s principal Japanese warrants market-making section. He is currently undertaking research into complex volatility trading for Refco Overseas Ltd, and is setting up sales and trading systems for Japanese warrants and convertible bonds for Independent Capital Corporation. He also lectures at City University Business School and London Guildhall University, UK.
January 2006 – July 2009 (3 years 7 months)
-Traded and hedged Guaranteed Investment Contracts (GICs) using Euro Dollar futures and swaps
-Coordinated trade processing with internal and external counterparts to determine optimum risk strategy for preferred rate of long and short term return