16 - 19 November 2026
InterContinental O2LondonLatest in Volatility Modelling Workshop
Master the art and science of volatility modelling with leading expert Julien Guyon. Develop practical skills in model calibration, volatility surface construction, and derivatives pricing. Transform theoretical frameworks into actionable strategies for trading and risk management.
Monday 16 November
Your workshop leader
Julien Guyon | Professor of Applied Mathematics and Visiting Associate Professor | Institut Polytechnique de Paris and NYU Tandon
Workshop breakdown
Important facts about volatility and early models
- The different types of volatility and volatility derivatives
- The volatility smile and the term-structure of equity at-the-money skew
- Stylized facts of volatility
- Volatility modeling: a brief history
- Black-Scholes: P&L analysis and an insightful hedging quiz
- Links between spot volatility, local volatility, and implied volatility
- Static v. dynamic properties of volatility models
- Local volatility
Stochastic volatility
- Stochastic volatility models
- Variance curve models
- The smile of stochastic volatility models
- Stochastic local volatility
- Rough volatility
Path-dependent volatility
- Empirical evidence
- Path-dependent volatility models in continuous time
- Path-dependent volatility models in discrete time
Calibration of volatility models
- Stochastic local volatility: The particle method for smile calibration
- Calibration of multi-asset volatility models: local volatility/correlation, cross-dependent volatility/correlation
- Exact joint S&P 500/VIX smile calibration by entropy minimization
- P- and Q-calibration of path-dependent volatility models