Financial Engineering Workshop - Marco de Innocentis (Credit Suisse)

by Faculty Events


Wed, 05 Dec 2018

6:10 PM – 7:15 PM

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Registration: 17:40 - 18:10

Cass Business School, 106 Bunhill Row
Room 2005

106 Bunhill Row, London EC1Y 8TZ, UK

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Sales Start Sep 18, 2018 at 1:30 PM Sales End Dec 04, 2018 at 3:00 PM Availability Unlimited Price FREE
Note: There is a limit at 1 ticket per person for this event.


Marco de Innocentis, Senior Quantitative Analyst at Credit Suisse, will be giving a seminar titled "Volatility Parametrizations: Fitting the Market or Fitting the Model" on Wednesday 5th December from 18:10 - 19:15 (light refreshments available from 17:40).

Parametrizations of the volatility surface such as the Stochastic Volatility Inspired (SVI) are widely used by practitioners as a tool for arbitrage-free interpolation or extrapolation of implied volatility. We review some pitfalls in the pricing of some exotic options which can arise when a pricing model is calibrated to the parametrized surface without due regard for the original market data, and discuss some ways of preventing them.

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Cass Business School, 106 Bunhill Row
Room 2005

106 Bunhill Row, London EC1Y 8TZ, UK


Marco de Innocentis

Credit Suisse

Marco is a senior quantitative analyst in the Exposure Modelling team within the Investment Banking Division of Credit Suisse. His areas of expertise include counterparty credit risk modelling, derivative pricing, stochastic volatility and jump processes. The main focus of his current work is the development of Monte Carlo simulation and pricing models for exposure calculation of bilateral OTC derivatives. Marco is an Honorary Fellow at the University of Leicester, holds a Ph.D. in Mathematics and has authored several articles in peer-reviewed journals in the fields of Quantitative Finance and Integrable Systems.

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