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QuantMinds International
16 - 19 November 2026
InterContinental O2London
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Preconference Day: Summits & Workshops - GMT (Greenwich Mean Time, GMTZ)

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Preconference Day: Summits & Workshops - GMT (Greenwich Mean Time, GMTZ)
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Showing 1 of 1 Streams
07:30 - 08:50
Registration and morning refreshments
08:50 - 09:00
Chair's welcome remarks
  • Julien Guyon - Professor of Applied Mathematics, ENPC, Institut Polytechnique de Paris, and Visiting Associate Professor, NYU Tandon
09:00 - 10:30
Important facts about volatility and early models
  • The different types of volatility and volatility derivatives
  • The volatility smile and the term-structure of equity at-the-money skew
  • Stylized facts of volatility
  • Volatility modeling: a brief history
  • Black-Scholes: P&L analysis and an insightful hedging quiz
  • Links between spot volatility, local volatility, and implied volatility
  • Static v. dynamic properties of volatility models
  • Local volatility
  • Julien Guyon - Professor of Applied Mathematics, ENPC, Institut Polytechnique de Paris, and Visiting Associate Professor, NYU Tandon
10:30 - 11:00
Morning break and networking
11:00 - 12:30
Stochastic volatility
  • Stochastic volatility models
  • Variance curve models
  • The smile of stochastic volatility models
  • Stochastic local volatility
  • Rough volatility
  • Julien Guyon - Professor of Applied Mathematics, ENPC, Institut Polytechnique de Paris, and Visiting Associate Professor, NYU Tandon
12:30 - 13:30
Lunch break and networking
13:30 - 15:00
Path-dependent volatility
  • Empirical evidence
  • Path-dependent volatility models in continuous time
  • Path-dependent volatility models in discrete time
  • Julien Guyon - Professor of Applied Mathematics, ENPC, Institut Polytechnique de Paris, and Visiting Associate Professor, NYU Tandon
15:00 - 15:30
Afternoon break and networking
15:30 - 17:00
Calibration of volatility models
  • Stochastic local volatility: The particle method for smile calibration
  • Calibration of multi-asset volatility models: local volatility/correlation, cross-dependent volatility/correlation
  • Exact joint S&P 500/VIX smile calibration by entropy minimization
  • P- and Q-calibration of path-dependent volatility models
  • Julien Guyon - Professor of Applied Mathematics, ENPC, Institut Polytechnique de Paris, and Visiting Associate Professor, NYU Tandon
17:00 - 17:10
Chair's closing remarks
  • Julien Guyon - Professor of Applied Mathematics, ENPC, Institut Polytechnique de Paris, and Visiting Associate Professor, NYU Tandon
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