First Baruch Volatility Workshop
Instructors: Jim Gatheral and Andrew Lesniewski
June 16-18, 2015, Baruch College, New York
The First Baruch Volatility Workshop is a three-day, heavily quantitative, leading edge workshop targeted to industry professionals taught by Jim Gatheral and Andrew Lesniewski, experienced practitioners and extensively published volatility researchers, professors in the Baruch College Financial Engineering Program.
This three-day workshop will be hosted from June 16-18, 2015, at Baruch College, close to the financial heart of New York City. It offers a unique opportunity for participants to catch up with cutting edge developments in volatility modeling in both equity and interest rates markets.
Taught by two of the most recognized names in quantitative finance, this workshop is deeply rooted in financial practice. Volatility modeling is of fundamental importance for price formation, asset valuation and risk management. This First Baruch Volatility Workshop will take participants on an exciting journey from a coherent philosophical understanding of the link between financial data and option prices all the way to practical implementation of the latest pricing and risk management techniques. As such, the workshop is in the vein of concrete and applicable (rather than abstract and theoretical) mathematics. Financial intuition is emphasized throughout. Understanding will be further reinforced through explicit calculations and numerical computations. Workshop participants will leave with an in-depth understanding of the latest developments in volatility modeling, and even coded examples.
- Understanding volatility
- Heston and SVJ models
- The interest rate volatility cube
- The SABR model and its myriad flavors
- The SVI arbitrage-free volatility surface parameterization
- Fitting SVI
- VIX, VVIX, and volatility derivatives
- Forecasting implied volatility from historical volatility
- Arbitrage-free SABR
- Effective local term structure modeling
- Risk management with SABR
More details on the topics covered in the workshop can be found here.
- Market makers
- Option book runners
- Proprietary traders
- Fund managers
- Risk managers
- Quantitative analysts
- Quantitative developers
- Model validators
- All those fascinated by the interaction between mathematics, technology and finance
All certified FRM, ERP participants to the First Baruch Volatility Workshop will receive 20 CPE credit hours from the Global Association of Risk Professionals. Contact CPE@garp.com for more information.
Prior reading is not required. However, motivated participants may be interested in reading some or all of the following references:
- Christian Bayer, Peter Friz and Jim Gatheral, Pricing under rough volatility, Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2554754, (2015).
- Rama Cont, Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance 1 223-236 (2001).
- Jim Gatheral, The Volatility Surface: A Practitioner’s Guide, John Wiley and Sons, Hoboken, NJ (2006).
- Jim Gatheral and Antoine Jacquier, Arbitrage-free SVI volatility surfaces, Quantitative Finance, 14(1) 59-71 (2014).
- Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum, Volatility is rough, available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2509457, (2014).
There will be no requirement for participants to bring laptops. The workshop will be presented in iPython notebook slideshow format with various time series analysis and volatility surface fitting examples demonstrated live using R. Participants will be provided with a link to download both the iPython notebooks and printouts of these notebooks in pdf format. To run the notebooks and the R-code, participants will of course need to install both R and iPython notebook.
Professional: $2,100; Student: $1,400 To register, please follow the link below.
For more information, email Volatility.Workshop@baruch.cuny.edu