Volatility Modelling Masterclass
Volatility Modelling Masterclass
Volatility Modelling Masterclass
8 March 2019
Led by: Julien Guyon, Senior Quant, BLOOMBERG, Adjunct Professor, COLUMBIA UNIVERSITY, Courant Institute of Mathematical Sciences, NYU
The workshop will cover:
- The different types of volatility
- The different types of volatility derivatives
- The volatility smile
- From spot volatility to implied volatility
- Volatility modelling: A brief history
- Static vs dynamic properties of volatility models
- Black-Scholes, P&L analysis
- Local volatility
- Stochastic volatilit
- Local stochastic volatility
- Path-dependent volatility
- Variance curve models
- The smile of variance curve models
- Rough volatility
- The particle method for smile calibration
- Multi-asset volatility modelling: Local volatility, stochastic volatility, cross-dependent volatility
Registration & breakfast: 8.30am
The workshop will start at 9.00am and finish at 5.00pm.
Lunch and refreshments will be served during breaks.