Overview
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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.
In this session, chaired by Bruno Dupire, Julien Guyon 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.
Agenda
- 5:00pm
Check-in
- 5:30pm
Keynote: Julien Guyon, Bloomberg L.P.
The Joint S&P 500/VIX Smile Calibration Puzzle Solved
Since VIX options started trading in 2006, many researchers have tried to build a model that jointly and exactly calibrates to the prices of S&P 500 (SPX) options, VIX futures and VIX options. So far the best attempts, which used parametric continuous-time jump-diffusion models on the SPX, could only produce approximate fits. In this talk we solve this longstanding puzzle using a completely different approach: a nonparametric discrete-time model. The model is cast as a dispersion-constrained martingale transport problem which is solved using the Sinkhorn algorithm. We prove by duality that the existence of such model means that the SPX and VIX markets are jointly arbitrage-free. The algorithm identifies joint SPX/VIX arbitrages should they arise. Our numerical experiments show that the algorithm performs very well in both low and high volatility environments. Finally, we briefly discuss:
(i) how our technique extends to continuous-time stochastic volatility models;
(ii) a remarkable feature of the SPX and VIX markets: the inversion of convex ordering, and how classical stochastic volatility models can reproduce it;
(iii) why, due to this inversion of convex ordering, and contrary to what has often been stated, among the continuous stochastic volatility models calibrated to the market smile, the Dupire local volatility model does not maximize the price of VIX futures.- 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.
- Ivailo Dimov (Bloomberg L.P.) – Trading extreme weather
- Robin Giesbrecht (Juilliard) – The science of stage fright
- Michael Ang (Bloomberg L.P.) – Conditional hypotheses
- Dhruv Madeka (Amazon) – Deep inventory management
- Philip Michael Wolfson (Wolfson Art & Architecture) – Dynamic propagation
- Maryam Sami (JP Morgan) – Fund managers and co-movements
- 7:00pm
Cocktail Reception
Keynote Speaker
Julien Guyon
Julien Guyon is a Professor of Applied Mathematics at École des Ponts ParisTech, one of the oldest and most prestigious French Grandes Écoles, where he holds the BNP Paribas Chair Futures of Quantitative Finance. He is also a Visiting Associate Professor in the Department of Finance and Risk Engineering at NYU Tandon, and an Adjunct Professor in the Departments of Mathematics at Columbia University and Baruch College, CUNY. Before joining École des Ponts, Julien worked in the financial industry for 16 years, first in the Global Markets Quantitative Research team at Societe Generale in Paris (2006-2012), then as a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York (2012-2022). He was previously an Adjunct Professor at the Courant Institute of Mathematical Sciences, NYU; Universite Paris Diderot; and École des Ponts ParisTech. Julien serves as an Associate Editor of Finance & Stochastics, SIAM Journal on Financial Mathematics, Quantitative Finance, and Journal of Dynamics and Games. He is also a Louis Bachelier Fellow. Julien co-authored the book Nonlinear Option Pricing (Chapman & Hall, 2014) with Pierre Henry-Labordere, has published more than 25 articles in peer-reviewed journals, and is a regular speaker at international conferences, both academic and professional. His main research interests include volatility and correlation modeling, option pricing, optimal transport, and numerical probabilistic methods. A big soccer fan, Julien has also published articles on fairness in sports both in academic journals and in top-tier newspapers including The New York Times, The Times, Le Monde, and El Pais; some of his suggestions for draws, tournament design, and scheduling have been adopted by FIFA for the World Cup and by UEFA for the Euro and the Champions League.
When & Where
Wednesday, February 19, 2020
5:00 pm – 8:00 pm ET
Bloomberg L.P.
731 Lexington Avenue
7MPR room
New York, NY 10022