Modelling the smile of volatility
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Date: 03-26-2009
Start Time:
5:30pm
End Time: 7:00pm
Speaker: Lorenzo Bergomi, Société Générale
Location: Park Avenue Plaza at 55 East 52nd Street
ABSTRACT
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.
BIO
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.
*There will be a cocktail following the event.
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