Advancements in the joint S&P 500/VIX smile calibration

Julien Guyon, Professor of Applied Mathematics at École nationale des ponts et chaussées, discusses his research on joint S&P 500 / VIX smile calibration, its importance in pricing and hedging derivatives, and the challenges of fitting both S&P 500 options and VIX options using parametric models. He also explains the profound impact of machine learning and AI on quant finance, comparing its importance to the industrial revolution, and highlighting the evolving nature of research in the field.

Save the date! QuantMinds International returns to London, 17-20 November 2025.