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 |