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 4 November. 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:
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.
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.