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Financial Engineering Workshop - Julien Guyon (Bloomberg, Columbia University and NYU)

by Faculty Events

Workshop

Wed, 18 Oct 2017

6:10 PM – 7:15 PM

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Registration: 17:40 - 18:10

Cass Business School, 106 Bunhill Row

106 Bunhill Row, London EC1Y 8TZ, UK

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Description

Julien Guyon, Senior quant at Bloomberg LP, and Adjunct Professor at Columbia University and NYU, will be giving a seminar aimed at practitioners titled "On the Joint Calibration of SPX and VIX Options" on Wednesday 18th October from 18:10 - 19:15.

Refreshments will also be available in room 2005 from 17:40.

File Attachments: Autumn 2017 Poster.pdf



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Where

Cass Business School, 106 Bunhill Row

106 Bunhill Row, London EC1Y 8TZ, UK

Speakers

Julien Guyon

Bloomberg LP, Columbia University and NYU

Julien Guyon is a member of the Quantitative Research group at Bloomberg LP, New York. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris (2006-2012). He was also a visiting professor at Universite Paris 7 and at Ecole des Ponts, where he taught mathematics of finance in Master programs. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des Ponts (Paris). He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des Ponts. His main current research interests include numerical probabilistic methods and volatility and correlation modeling.

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