Option Pricing and Volatility agenda
We've got a whole stream of content focused on option pricing and volatility on Tuesday 14 May. Key topics under discussion include:
- Analytic formula for barrier option pricing
- Theta I – what and how?
- Swaptions, bonds and equities in HJM models
- Local stochastic volatility modelling computational challenges
- Quantum pricing models – application of infinite dimensional group representation in derivative pricing
- Effective approximations of zero coupon bond/survival probabilities and Arrow Debreu Prices in short rate models
- A new pricing model for cash-settled swaptions
Hear from the experts in option pricing and volatility
Why Not Also Attend:
Quant Tech Summit
Monday 13 May 2019
Position yourself to take the next disruptive financial steps by learning specific applications of the latest game-changing innovations that directly impact the quant function.
Key focuses of the summit will include practical applications of big data, machine learning, blockchain and high performance computing.
Presenters will represent fintech start-ups, academics and traditional financial practitioners.
Monday 13 May 2019
Workshop Leader: Bruno Dupire, Head Of Quantitative Research, BLOOMBERG L.P.
Modules will include the fundamentals of volatility, models, derivatives and trading & arbitrage.
Modern Option Pricing
Friday 17 May 2019
- Luca Capriotti, Managing Director - Head Quantitative Strategies Global Credit Products EMEA, CREDIT SUISSE
- Uwe Naumann, Professor of Computer Science, RWTH AACHEN UNIVERSITY
- Mike Giles, Professor of Mathematics and Department Head, OXFORD UNIVERSITY
Modules will include the particle method for smile calibration, stochastic control techniques & applications, machine learning techniques for option pricing and model-free bounds for option prices.