Session: FR-A-BU
Variance, Implied Volatility and Pricing

Chair

Peter Carr

Time

10:00 - 12:00 on Friday, 20th of July 2018

Venue

Burke Theater

10:00

Probabilistic Interpretation of an Implied Volatility Smile

Peter Carr (New York University), Liuren Wu (Baruch College, CUNY)
10:30

Statistics of VIX & VSTOXX Futures with Applications to Trading Volatility Exchange-Traded Products

Andrew Papanicolaou (NYU)
11:00

Extracting Latent States from High Frequency Option Prices

Diego Amaya (Wilfrid Laurier University), Jean-Francois Begin (Simon Fraser University), Genevieve Gauthier (HEC Montreal)
11:30

Deep OTM implied Variance Can Never Rise

Bruno Dupire (Bloomberg LP)