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6-10 December 2021
Hotel Fairmont Barcelona Rey Juan Carlos IBarcelona

Volatility Modelling and Trading agenda

We've got a whole stream of content focused on volatility modelling and trading on Tuesday 3 November. Key topics under discussion include:

  • Practicalities of multi-asset stochastic volatility / local-stochastic volatility models
  • When (rough) Heston meets Zumbach and Guyon: A simple solution to the SPX/VIX smile calibration problem
  • Adding optionality
  • Arbitrage free evolution of the volatility surface
  • Numerical acceleration of option pricing  by characteristic function methods
  • ADOL - markovian approximation of rough lognormal model
  • A neural network approach to understanding Implied volatility movements