About this Event
PLEASE NOTE THAT THIS IN-PERSON EVENT WILL START ON TUESDAY, 24 SEPTEMBER, 2024, AT 6:00 PM BST (LONDON TIME) (1.00 PM EST (NEW YORK TIME)) at G-Research offices.
This event is sponsored by G-Research (Silver Sponsor), First Derivatives plc (Bronze Sponsor), FirstRate Data (Bronze Sponsor), KX, Inc. (Bronze Sponsor), Turnleaf Analytics (Bronze Sponsor), Hudson and Thames (Bronze Sponsor), and Packt (Media Partner).
This event is hosted by G-Research, Europe's leading quantitative finance research firm: We hire the brightest minds in the world to tackle some of the biggest questions in finance. We pair this expertise with machine learning, big data, and some of the most advanced technology available to predict movements in financial markets.
Venue: G-Research, Whittington House, 19-30 Alfred Place, London, WC1E 7EA
Arrival time of 18:00 (London) and talk starts at 18:30 (London).
Seminar will last between 1 to 1.5 hours, followed by networking / food / drinks.
Please note that your Tregistration must include your full name (and the full names of all your guests) in order to be admitted by the venue, G-Research (health and safety regulations). If it doesn't include it, please email it to [email protected] along with your profile name.
FULL TITLE: Building volatility models from data
ABSTRACT
The goal here is to extract as much information as possible from Equity / Equity options data in order to construct an arbitrage-free model for (stochastic/implied) volatility. Our journey will start in a static framework, looking at implied volatility surface one day at a time, and evolve progressively to a dynamic framework.
BIOGRAPHY
Antoine (Jack) Jacquier is a professor of mathematics at Imperial College London and researcher at the Alan Turing Institute. His research focuses on quantum computing as well as stochastic analysis and volatility modeling in finance. He is particularly interested in large deviations methods and asymptotic expansions for stochastic processes, and their applications to volatility modelling. Jacquier also serves as a scientific consultant and advisor for various finance and technology companies. Jacquier is also Director of the MSc Mathematics and Finance at Imperial College London - one of the best educational programmes of its kind in the world.
Event Venue & Nearby Stays
Whittington House, 19-30 Alfred Place, London, United Kingdom
GBP 0.00