Slides

Slides

Upon the request of a few speakers, some presentation slides are not available.

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Kevin Atteson, Drawdown Derivatives to a Hitting Time (PDF)

Sébastien Bossu, Generalizations of the Carr-Madan spanning formula (PDF)

Pasquale Cirillo, Pseudo Sums, Contingent Claims and a Generalized Memoryless Property (PDF)

Doug Costa, Optionality as a Binary Operation (PDF)

Umberto Cherubini, Generalizing Compounding and Growth Optimal Portfolios: Reconciling Kelly and Samuelson (PDF)

Segolene Dessertine-Panhard and Yash Shah, Evolution of Forecasting to Tackle Business Problems, From Standard Textbook Time Series Models to State of the Art Algorithms, Ensembling and Interpretability (PDF)

Bruno Dupire, Revisiting Black-Scholes (PDF)

Jim Gatheral, Peter Carr and the variance contract (PDF)

Julien Guyon, Volatility is (Mostly) Path-Dependent (PDF)

Cody Hyndman, Convolution-FFT for option pricing in the Heston model (PDF)

Andrey Itkin, Semi-analytical pricing of barrier options in the
time-dependent Heston model (PDF)

Robert Jarrow, The No-arbitrage Pricing of Non-traded Assets (PDF)

Bruno Kamdem, Tradable Carbon Permits Auctions Under Regulation and Competition (PDF)

Dilip Madan, The Economics of Time as it is Embedded in the Prices
of Options (PDF)

Federico Maglione, Elementary compound derivative pricing (PDF)

Dan Pirjol, W-shaped Smiles and the Gaussian Mixture Model (PDF)

Prithvi Ramesh, Generalized Power-Gaussian Copula & CMS Spread Option Smiles (PDF)

David Shimko, Simpler Option Pricing (PDF)

Stephan Sturm, When to Sell an Asset? A Distribution Builder Approach (PDF)

Claudio Tebaldi, Financial Interpretation of Feller’s factorization (PDF)