18 - 21 November 2024
InterContinental O2LondonRough Volatility Workshop
Led by Dr Jim Gatheral
Monday 18 November
Your workshop leader
Dr Jim Gatheral
Presidential Professor of Mathematics
Baruch College, CUNY
Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 27 years.
What to expect...
Module 1
Econometrics and forecasting
- Shape of the volatility surface
- Scaling of implied volatility smiles
- Monofractal scaling of realized variance
- Estimation of H
- Realized variance forecasting
Module 2
Rough volatility models (under Q)
- The forward variance curve
- Change of measure
- The rough Bergomi model
- The rough Heston model
- The quadratic rough Heston model
- Financial meaning of parameters
Module 3
Affine models and their microstructural foundation
- Affine forward intensity models
- Affine forward volatility models
- Diamonds and the exponentiation theorem
- The leverage swap
- Moment computations
Module 4
Computation
- Rational approximation of rough Heston
- The HQE scheme
- Parameter sensitivities
- Smile fitting