Financial Engineering Workshop - Martino Grasselli - Università di Padova and Devinci Research Center, Paris la Defense - via Microsoft Teams
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We first propose a purely stochastic volatility framework for modeling in a consistent manner the VIX index and the VXX, an exchange-traded note written on the VIX. We quantify the systematic loss observed empirically for VXX when the VIX futures term-structure is in contango and we derive option prices, implied volatilities and skews of VXX from those of VIX in infinitesimal developments. Then, we present a general stochastic-local volatility model for a joint calibration for Exchange-Traded Products (ETPs) with their underlying futures contracts. Numerical simulations and calibration on real data are presented to highlight the flexibility of our model in fitting the futures and the vanilla options market of VIX and VXX.
Martino Grasselli is Co-Founder and President of Aequo Srl, a financial engineering startup spinoff of the University of Padua. He is Head of the Finance Group at the Pôle Universitaire Léonard de Vinci Research Center in Paris La Defense and he is Full Professor at the Mathematics Department of University of Padua (Italy). After graduating in Mathematics (Padua, 1994) he received a Doctorate in Applied Mathematics from Univ. Trieste (1999) and a Ph.D in Quantitative Finance from Paris 1 Sorbonne (2001 ) as a fellow of CREST. He has been Assistant Professor at Verona Univ. (1999-2004) and Visiting Professor at Univ. Evry (France 2003), UTS (Sydney, regularly since 2010), Dauphine (Paris, 2013).
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