Session: TH-P-SY
Volatility

Chair

Jan Pospíšil

Time

14:30 - 16:30 on Thursday, 19th of July 2018

Venue

Synge

14:30

Approximating option prices and implied volatilities under stochastic volatility jump diffusion models

Josep Vives (Universitat de Barcelona)
15:00

Construction and Properties of Maximum Volatility Portfolio

Jan Vecer (Charles University), Robert Navrátil (Charles University)
15:30

Decomposition formula for rough fractional stochastic volatility model

Raúl Merino (University of Barc), Jan Pospíšil (University of West Bohemia), Tomáš Sobotka (University of West Bohemia), Tommi Sottinen (University of Vaasa), Josep Vives (Universitat de Barcelona)
16:00

Option price decomposition in spot-dependent volatility models and some applications

Raúl Merino (University of Barcelona), Josep Vives (Universitat de Barcelona)