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Main Conference Day 1 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Main Conference Day 1 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Showing 1 of 1 Streams
Stream A: Derivatives & Volatility
11:30 - 11:35
Chair's welcome remarks
- Mahdi Anvari - Head of Equity Derivatives Quantitative Analysis, Millennium
11:35 - 12:15
Skew-stickiness and rough volatility
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
12:15 - 12:55
Ancient-school comp finance: theta-method finite differences for American options and callables – for real
- Leif Andersen - Global Co-Head Of Quantitative Strategies Group, Bank of America
12:55 - 13:30
The Bridge: joining short-rate and market models together
- Fabio Mercurio - Global Head of Quant Analytics, Bloomberg L.P.
Showing 1 of 1 Streams
Stream A: Derivatives & Volatility
14:30 - 15:05
Some results on the relationship between local and implied volatilities via Malliavin calculus
- Elisa Alòs Alcalde - Associate Professor, Universitat Pompeu Fabra (UPF)
15:05 - 15:40
Rough volatility: fact or artefact?
- Purba Das - Lecturer in Mathematical Finance, King's College London
15:40 - 16:10
15 Years of Adjoint Algorithmic Differentiation (AAD)
- Luca Capriotti - Adjunct Professor, Columbia University
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