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Modelling volatility, convexity, and option pricing – new approaches and challenges

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Live from QuantMinds International, we asked key speakers to share how they tackle challenges in modelling volatility, how option pricing methods have changed over the years, and what the role of convexity is within quant finance.

Lorenzo Bergomi, Head of Quantitative Research at Société Générale, on equity smiles and unresolved challenges in volatility

Blanka Horvath, Lecturer in Financial Mathematics, King’s College London, on the role of machine learning in modelling volatility

Alexandre Antonov, Director at Standard Chartered Bank, on quantifying model performance and machine learning

Jessica James, Managing Director, Senior Quantitative Researcher at Commerzbank AG, on the challenges of modelling convexity

Julien Guyon, Senior Quant at Bloomberg L.P., on innovations in option pricing methods

 

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QuantMinds International

02 - 06 Nov 2020, Hamburg
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