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QuantMinds International
13 - 16 November 2023
InterContinental O2London

13 - 16 November 2023
InterContinental O2,

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:

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.

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.