Events

Talk by Olivier Guéant, Professor Université Paris 1 Panthéon Sorbonne Title: From Theoretical Results to Real-World Applications in Bonds, FX, Commodities and Cryptocurrencies: An Overview on Market Making Models Abstract: Since the foundational work of Ho and Stoll,...

Talk by Jules Delemotte, PhD student at CMAP, Ecole Polytechnique Title: Smile dynamics and rough volatility Abstract: We investigate the dynamic properties of various stochastic, and notably rough, volatility models, with an emphasis on the dynamics of implied...

Mini course by Julien Guyon (Ecole des Ponts): "Recent advances in VIX modeling" The minicourse will cover (as time permits): Optimal bounds for VIX futures given S&P 500 smiles Robust bounds for derivatives on S&P 500 and/or VIX: VIX-constrained martingale...

David SIbai, BNP-PAR Title: Introduction to performance engineering Abstract: Performance tuning is often seen as a black box, but it shouldn’t – it’s a standard engineering problem, like any other.  The purpose of this talk is to introduce standard models and...

Zorana Grbac, Université Paris Cité, LPSM Title: Term structure modelling with overnight rates beyond stochastic continuity Abstract: Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate...

Guido Gazzani (ENPC) Title: Pricing and calibration of path-dependent volatility models Abstract: We consider the path-dependent volatility (PDV) model of Guyon and Lekeufack (2023), where the instantaneous volatility is a linear combination of a weighted sum of past...