17 - 20 November 2025
InterContinental O2Londonkeyboard_arrow_right
Search & Filter keyboard_arrow_right
keyboard_arrow_left Hide
Preconference Day: Summits & Workshops - GMT (Greenwich Mean Time, GMTZ)
keyboard_arrow_leftSearch & Filter
search
Streams
Clear
Formats
Preconference Day: Summits & Workshops - GMT (Greenwich Mean Time, GMTZ)
search
Streams
Clear
Formats
Showing 1 of 1 Streams
Rough Volatility Workshop
07:30 - 08:50
Registration and morning refreshments
08:50 - 09:00
Chair's welcome remarks
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
09:00 - 10:30
Econometrics and forecasting
- Shape of the volatility surface
- Scaling of implied volatility smiles
- Monofractal scaling of realized variance
- Estimation of H
- Realized variance forecasting
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
10:30 - 11:00
Morning break and networking
11:00 - 12:30
Rough volatility models (under Q)
- The forward variance curve
- Change of measure
- The rough Bergomi model
- The rough Heston model
- The quadratic rough Heston model
- Financial meaning of parameters
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
12:30 - 13:30
Lunch break and networking
13:30 - 15:00
Affine models and their microstructural foundation
- Affine forward intensity models
- Affine forward volatility models
- Diamonds and the exponentiation theorem
- The leverage swap
- Moment computations
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
15:00 - 15:30
Afternoon break and networking
15:30 - 17:00
Computation
- Rational approximation of rough Heston
- The HQE scheme
- Parameter sensitivities
- Smile fitting
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
17:00 - 17:10
Chair's closing remarks
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
Get the Latest Event Updates
Sign up to get the latest event updates and information.
Filter
Streams
Clear
Formats