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23-27 May, 2022
Online virtual conferenceBST (British Summer Time, GMT+1)

Pricing, Trading & Volatility

This summit will consider all practical aspects of volatility data, modelling, risk management, and trading, with detailed examples of trading and risk management of both popular and exotic products. Confirmed sessions and speakers include:


Next generation local volatility
Next generation local volatility

With Jesper Andreasen, Kwant Daddy, Saxo Bank

Trading and hedging bitcoin and crypto asset volatility
Trading and hedging bitcoin and crypto asset volatility

With Carol Alexander, Professor Finance, Sussex University

Static replication of European multi-asset options
Static replication of European multi-asset options

With Sebastien Bossu, Principal, Ogee Group


Adding Optionality
Adding Optionality
  • Treating European optionality as a new binary operation 
  • Valuing Bermudan options on increments (stoptions) as repeated pseudo-addition 
  • Dynamic replication of Bermudan stoptions by rolling a vanilla option

 With Peter Carr, Department Chair, Finance & Risk Engineering, NYU Tandon School 

Black Basket Analytics for Mid-Curves and Spread-Options
Black Basket Analytics for Mid-Curves and Spread-Options

This session will propose a new way to unify two marginal distributions such that it has a large number of parameters permitting to calibrate to mid-curve or spread options with multiple strikes. The method is based on a “black basket” of log-normal processes having a fast analytical formulation and attractive simplicity.

With Alexandre Antonov, Chief Analyst, Danske Bank

Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit

New semi-analytic methods for pricing derivatives – this session will features a survey of recent results, the subject of a new book: Itkin, Lipton, Muravey, “Generalized Integral transforms in mathematical finance”, World Scientific, 2021.

With Andrey Itkin, Director & Senior Quant Research Associate, BOFA