| Tuesday, June 16 | |
| Jim – Session 1 | The volatility surface: Statistics and dynamics IPython pdf |
| Jim – Session 2 | Computationally tractable stochastic volatility models IPython pdf |
| Andrew – Session 1 | Interest Rate Options pdf |
| Andrew – Session 2 | The SABR model and its myriad flavors pdf |
| Wednesday, June 17 | |
| Jim – Session 3 | The SVI arbitrage-free volatility surface parameterization IPython pdf |
| Jim – Session 4 | Fitting SVI IPython pdf |
| Jim – Session 5 | Variance swaps, gamma swaps, VIX, and VVIX IPython pdf |
| Jim – Session 6 | Rough volatility and the connection between historical and implied volatility IPython pdf |
| Thursday, June 18 | |
| Andrew – Session 3 | Arbitrage-free SABR pdf |
| Andrew – Session 4 | Effective local term structure modeling pdf |
| Andrew – Session 5 | LMM-SABR pdf |
| Andrew – Session 6 | Risk management with SABR pdf |
