Session: TH-A-BU
Calibrating Stochastic Volatility Models

Chair

Jim Gatheral

Time

11:30 - 13:30 on Thursday, 19th of July 2018

Venue

Burke Theater

11:30

On the Joint Calibration of SPX and VIX Options

Julien Guyon (Bloomberg L.P.)
12:00

Volatility options in rough volatility models

Antoine Jacquier (Imperial College), Blanka Horvath (Imperial College), Peter Tankov (ENSAE ParisTech)
12:30

Exponentiation of Conditional Expectations Under Stochastic Volatility

Jim Gatheral (Baruch College, CUNY), elisa alos (University of Pompeu Fabra), Radoš Radoičić (Baruch College, CUNY)
13:00

VIX derivatives in rough forward variance models

Stefano De Marco (Ecole Polytechnique-CMAP)