17 - 20 November 2025
InterContinental O2LondonRough Volatility Workshop
A revamped classic for modern applications
Monday 17 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.
NEW themes for 2025
Microstructural foundtaion of the QRH model
The QRH scheme for quaratic rough Heston
Joint iftting of SPX and VIX smiles
Computing the skew-stickiness ratio
Workshop breakdown
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
Microstructural foundation
- Affine forward intensity models
- Affine forward volatility models
- Microstructural foundation of the QRH model
- Diamonds and the exponentiation theorem
- The leverage swap
- Moment computations
Module 4
Computation
- Rational approximation of rough Heston
- The HQE scheme for affine models
- The QRH scheme for quadratic rough Heston
- Parameter sensitivities
- Joint fitting of SPX and VIX smiles
- Computing the skew-stickiness ratio (SSR)