6-10 December 2021
Hotel Fairmont Barcelona Rey Juan Carlos IBarcelonaOption 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
Hear from the leading experts in option pricing and volatility
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.