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Workshop Programme

for period 13-14 May

Industry Event: Volativity

13-14 May

Timetable

Friday 13 May
10:00-11:00 Friz, P (Cambridge) DQF
  Pricing volatility derivatives as inverse problem Sem 1
11:00-11:30 Coffee DQF
11:30-12:30 Sabanis, S (Edinburgh) DQF
  A class of stochatic volatility models and EMM Sem 1
12:30-13:30 Lunch DQF
13:30-14:30 Gatarek, D (Numerix) DQF
  Uncertain volatility approach to smile modelling Sem 1
14:30-15:30 Albanese, C (Imperial) DQF
  Stochastic volatility and local levy processess on lattices Sem 1
15:30-16:00 Tea DQF
16:00-17:00 Rebonato, R (Royal Bank of Scotland) DQF
  Why neither time-homogeneity nor time-dependance will do: theoretical implications and empirical evidence from the US dollars option market Sem 1
17:00-18:00 Alexander, C (ISMA Centre) DQF
  Unifying volatility models Sem 1
18:45-19:30 Pre-dinner drinks at Downing College DQF
19:30-18:00 Dinner at Downing College DQF
Saturday 14 May
09:00-10:00 Galluccio, S (BNP Paribas) DQF
  Modelling hybrids with jumps and stochastic volatility at CMS, room MR2 Sem 1
10:00-11:00 Bonnaud, J (BNP Paribas) DQF
  Solving the stochastic volatility/jumps dilemna: mapping technique and subordinators - at CMS, room MR2 Sem 1
11:00-11:30 Coffee DQF
11:30-12:30 Rasmussen, H (Oxford) DQF
  Some forward volatility approximations at CMS, room MR2 Sem 1
12:30-13:30 Lunch DQF
13:30-14:30 Cont, R (Paris) DQF
  Hedging in models with jumps at CMS, room MR2 Sem 1
14:30-15:30 Lee, R (Chicago) DQF
  From generalized put-call symmetry to robust hedges of volatility derivatives - at CMS, room MR2 Sem 1
15:30-16:00 Tea DQF
Other Seminars
Seminars in the University
National and International Scientific Research Meetings

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