FE Practioners Seminar: Jim Gatheral

January 12, 2018 | 6:00pm - 7:30pm
Schapiro CEPSR, 530 W. 120 St., New York, NY 10027 Davis Auditorium

Title: Rough volatility: An overview

Abstract: The scaling properties of  historical volatility time series, which now appear to be universal, motivate the modeling of volatility as the exponential of fractional Brownian motion. This model can be understood as reflecting the high endogeneity of liquid markets and the long memory of order flow.  The Rough Bergomi model which is the simplest corresponding pricing model fits the implied volatility surface remarkably well.  As an application, we show how to forecast realized variance.  We also present our recent exponentiation theorem, one application of which is to fast calibration of the rough Heston model.
Bio: Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 27 years.  Jim has served as a Managing Editor of the International Journal of Theoretical and Applied Finance and as Associate Editor of the SIAM Journal on Financial Mathematics; he currently serves with Michael Dempster as Joint Editor-in-Chief of Quantitative Finance.  His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim is also a frequent speaker at both practitioner and academic conferences around the world. His best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling.  He received his Ph.D. in theoretical physics from Cambridge University, and a B.Sc. in Mathematics and Natural Philosophy from the University of Glasgow.

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