Session: WE-A-B2
Stochastic Volatility 2

Chair

Martin Keller-Ressel

Time

11:30 - 13:30 on Wednesday, 18th of July 2018

Venue

Beckett 2

11:30

Optimal Portfolio under Fractional Stochastic Environment

Jean-Pierre Fouque (University of California, Santa Barbara), Ruimeng Hu (University of California, Santa Barbara)
12:00

Information Flow Dependence in Financial Markets

Markus Michaelsen (University of Hamburg)
12:30

Smiles & Smirks: a tale of factors

Laura Ballotta (Cass Business School, City, University of London), Gregory Rayee (ULB)
13:00

Affine Forward Variance Models

Martin Keller-Ressel (TU Dresden), Jim Gatheral (Baruch College, CUNY)