Chair master lecture

Julien Guyon gives a chair master lecture on “Advanced calibration methods and VIX derivatives”. This is a joint lecture for the students of the masters M2MO (Université Paris Cité), Probabilités et Finance (Sorbonne Université), and MFD (École nationale des ponts et chaussées).

Agenda:

– Particle methods: non-linear SDEs in the sense of McKean, propagation of chaos, calibration of local and stochastic volatility models, calibration of local correlation models (FX, stocks)
– Introduction to the VIX Market: VIX Index, VIX Futures, VIX Options and related products
– Robust pricing and hedging using VIX options data: VIX-constrained martingale optimal transport
– Joint calibration of SPX and VIX smiles: parametric and non-parametric approaches