Speakers
Speakers
Dilip Madan, University of Maryland
Bruno Dupire, Bloomberg
Robert Jarrow, Cornell University
“The No-arbitrage Pricing of Non-Traded Assets”
Douglas Costa, Susquehanna International Group, LLP
“Optionality as a Binary Operation”
Federico Maglione, Scuola Normale Superiore
“Elementary Compound Derivatives”
David Shimko, NYU Tandon School of Engineering
“Simplified Option Price Derivations”
Liuren Wu, Baruch College
“Option Pricing Bottom Up and Top Down”
Roza Galeeva, NYU Tandon School of Engineering
“Deriving Better Derivatives”
Dan Pirjol, Stevens Institute of Technology
“W-Shaped Implied Volatility Curves and the Gaussian Mixture Model”
Prithvi Ramesh, UBS Investment Bank
“Generalized Power Gaussian Copula & CMS Spread Option Smiles”
Hélyette Geman, Johns Hopkins University
“How we came up with the CGMY model”
Sébastien Bossu, WPI Business School and NYU Courant
“Generalizations of Carr-Madan Formula for Option Decomposition”
Claudio Tebaldi, Bocconi University
“Financial Interpretation of Feller’s Factorization”
Pasquale Cirillo, ZHAW School of Management and Law, Switzerland
Nassim Nicholas Taleb, NYU Tandon School of Engineering
Jim Gatheral, Baruch College
“Peter Carr and the variance contract”
Cody Hyndman, Concordia University
“Convolution-FFT for Option Pricing in the Heston Model”
Kevin Atteson, NYU Tandon School of Engineering
“Maximum Drawdown Derivatives at a Hitting Time”
Andrey Itkin, NYU Tandon School of Engineering
“Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model”
Roger Lee, University of Chicago
“EMA-type Trading Rules Maximize Expected Utility
under Gaussian Partial Information”
Stephan Sturm, Worcester Polytechnic Institute
“When to Sell an Asset? A Distribution Builder Approach”
Pavel Levin, St. John’s University
“Instantaneous and Averaged Volatility in Two-Side Filtration Model of Financial Asset Pricing”
Julien Guyon, Bloomberg LP.
“Volatility is (Mostly) Path-Dependent”
Ségolène Dessertine-Panhard and Yash Shah, Amazon Web Services and ML Solutions Lab
“Evolution of Forecasting to Tackle Business Problems: From Standard textbook Time Series Models to State of the Art Algorithms, Ensembling and Interpretability”
Bruno Kamdem, NYU Tandon School of Engineering
“Tradable Carbon Permit Auctions Under Regulation and Competition”
Umberto Cherubini, University of Bologna
“Generalizing Compounding and Growth Optimal Portfolios: Reconciling Kelly and Samuelson”