This site is part of the Informa Connect Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC's registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 3099067.

QuantMinds International
13 - 16 November 2023
InterContinental O2London

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