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
Hear from the leading experts in volatility modelling and trading
Why Not Also Attend:
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.
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.