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Events

Event: IAFE /Thalesians Seminar Series
Date: Tuesday, September 24, 2013
Time: 5:45pm Registration, 6:00pm Seminar, 7:30pm Reception
Location:
NYU Kimmel Center
Room 914
60 Washington Square South
New York, NY 10012

The International Association of Financial Engineers is pleased to invite you to

IAFE /Thalesians Seminar Series:
The Particle Method: A Powerful Tool to Solve Your Smile Calibration Problem
A Talk by Julien Guyon

 

ABSTRACT
In this talk we will introduce the particle method and show how it solves a wide variety of smile calibration problems:
- calibration of the local volatility model with stochastic interest rates
- calibration of stochastic local volatility models, possibly with stochastic interest rates and stochastic dividend yield
- calibration to the smile of a basket of multi-asset local volatility-local correlation models, possibly with stochastic volatility, stochastic interest rates, and stochastic dividend yields
- calibration of path-dependent volatility models and path-dependent correlation models

The particle method is a Monte Carlo method where the simulated paths interact with each other to ensure that a given market smile is fitted. PDE methods typically do not work for these high-dimensional models. The particle method is not only the first available exact simulation-based method. It is also robust, easy to implement, and fast (it is as fast as a standard Monte Carlo algorithm), as many numerical examples will show. As of today, it is the most powerful tool for solving smile calibration problems. Icing on the cake for those who like maths: there are nice mathematics behind the scenes, namely the theory of McKean stochastic differential equations and the propagation of chaos.

BIOGRAPHY
Julien Guyon is a senior quantitative analyst in 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 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. Julien was also a visiting professor at Universite Paris 7 and at Ecole des ponts where he taught mathematics of finance in Master programs. His main research interests include nonlinear option pricing, numerical probabilistic methods, and volatility and correlation modeling.

ABOUT THE SERIES
The IAFE's Thalesians Seminar Series is a joint effort on the part of the IAFE (www.iafe.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. Click here for information on the IAFE/Thalesian Seminar Series.

 

View Julien Guyon’s presentation here.


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