Please join us for the next installment of the Bloomberg Quant (BBQ) Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance.

 

The next session will be held on
Wednesday, March 21st, 2018
at Bloomberg 7EMPR, at 731 Lexington Avenue, New York, NY – 10022.

 

In this session, chaired by Bruno Dupire, Prof. Jim Gatheral will present his current research, followed by several “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.

 

Register and secure your spot for the next session of the BBQ Seminar, Wednesday, March 21st via the following link:

 

http://b.bloomberg.com/reg-QuantSeminarSeries2018 

 

AGENDA

 

5:00pm Check-in, Bloomberg, 731 Lexington Avenue, New York, NY 10022

 

Prof. Jim Gatheral

Baruch College, City University of New York

 

We use the Alòs Itô Decomposition Formula to express certain conditional expectations as exponentials of forests of trees. Each tree represents iterated applications of a new diamond operator. As one application, we compute an exact formal expression for the leverage swap for any stochastic volatility model expressed in forward variance form. As another, we show how to extend the Bergomi-Guyon expansion to all orders in volatility of volatility. Finally, we compute exact expressions under rough volatility, obtaining in particular the fractional Riccati equation for the rough Heston characteristic function. As a corollary, we compute a closed-form expression for the leverage swap in the rough Heston model and give an example of its use for fast calibration.

 

6:15pm Lightning talks.

A lightning talk is a very short presentation lasting only 5 minutes. Several ones will be delivered in a single session by different speakers in quick succession.