The Center for Financial Engineering at Columbia University is pleased to invite you to the forthcoming New York Quantitative Finance Seminar
http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/2008_2009/sprin
g/index.html
Thursday, March 26th, 2009, 5:30pm PM-7:00 PM
Presentation by Lorenzo Bergomi, Société Générale on Modelling the smile of volatility
These last few years have witnessed the growth of the market of general options on variance, implied or realized, spot-starting or forward-starting, as well as the market of VIX futures and options. In this talk we present new work on the joint dynamics of the spot and its volatilities that addresses the issue of the smile of volatility of volatility which is manifested, for example, in the smiles of options on VIX futures.
VENUE: Park Avenue Plaza, 55 East 52nd Street, 11th floor. An ID will be needed to access the auditorium (lower level). Admission to the conference will be on a first come first serve basis. The capacity of the seminar room being limited to 140, the organizers reserve the right to refuse entrance to participants arriving after the capacity limit is attained.
**** Please use the following link to inform us of your intent to attend this month's conference:
http://www.cfe.columbia.edu/misc-pages/RSVP-NYQF.html
Please note that this registration does not guarantee admission, the conference will be attended on a first come first serve basis. ****
* About the speaker: Lorenzo Bergomi is head of Quantitative Research in the Equity Derivatives department at Société Générale, where he has been since 1997. Originally trained in electrical engineering, Lorenzo obtained a PhD in theoretical physics in the theory group at CEA, Saclay, France, then spent two years in the physics department of MIT before joining SG.
The New York Quantitative Finance Seminar is a forum for discussion of new results and insights coming from quantitative modeling in finance and risk management, for the New York quantitative finance community. The New York Quantitative Finance Seminar is brought to you by Center for Financial Engineering, Columbia University & NYU Courant Institute of Mathematical Sciences. Sponsored by BlackRock, Standard and Poor's, Finance Concepts, Europlace Institute of Finance
Organizing committee: Marco AVELLANEDA (NYU Courant Institute), Rama CONT (Columbia University), Emanuel DERMAN (Columbia University), Craig FRIEDMAN (Standard and Poor's)
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