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Option Pricing and Volatility

Your option pricing and volatility highlights on the QuantMinds International 2020 agenda

Option Pricing and Volatility agenda

We've got a whole stream of content focused on option pricing and volatility on Wednesday 13 May. Key topics under discussion include:

  • Diamond trees and the forest expansion
  • Utility pricing of derivatives
  • Hybrid monte carlo-FEM method: a new way to solve complex pricing problems
  • The perils of parameterization
  • A new framework for the static replication of single- and multi-asset European options
  • Optimizing equity hybrid models
  • Challenges of indexation in S&P 500 index volatility investment strategies
  • Pricing of barrier options
  • The joint SPX/VIX smile calibration puzzle solved: continuous time
  • Not so particular about calibration: smile problem resolved
  • Volatility interpolation over skew events

Why Not Also Attend:

Volatility Workshop

Monday 11 May 2020

Workshop leader: Bruno Dupire, Head Of Quantitative Research, Bloomberg L.P.

Modules include the fundamentals of volatility, models, derivatives and trading and arbitrage.

Learn more about the workshop
Modern Option Pricing

Friday 15 May 2020

Workshop leader: Pierre Henry-Labordere, Quant, Global Markets Quantitative Research, Societe Generale & Julien Guyon, Senior Quant, Bloomberg L.P.

Modules include an introduction to the world of machine learning, supervised learning, unsupervised and reinforcement learning, and how it links with other financial innovations.

Learn more about the workshop