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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

Why Not Also Attend:

Volatility Workshop

Monday 11 May 2020

Workshop Leader: Bruno Dupire, Head Of Quantitative Research, BLOOMBERG L.P.

Modules will include the fundamentals of volatility, models, derivatives and trading & arbitrage.

Learn more about the workshop
Modern Option Pricing Workshop

Modules include an introduction to the world of machine learning, supervised learning, unsupervised and reinforcement learning, and how it links with other financial innovations.

Learn more about the workshop