Workshop:
Fractional Processes in Finance

École Polytechnique - Palaiseau - Monday, June 11, 2018


Plenary speakers:

Eduardo Abi Jaber (Université Paris-Dauphine)
Elisa Al˛s (Universitat Pompeu Fabra, Barcelona)
Alexandre Brouste (Université du Maine, Le Mans)
Omar El Euch (École Polytechnique)
Archil Gulisashvili (Ohio University)
Blanka Horvath (ImperialáCollege, London)
Antoine Jacquier (ImperialáCollege, London)
Josef Teichmann (ETH, Zurich)

Program:

9:20 welcome
9:25-10:00 Josef Teichmann
Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
10:05-10:40 Elisa Al˛s
The short-time behavior of the implied volatility for fractional volatilities
10:45-11:05 coffee break
11:05-11:40 Archil Gulisashvili
Volterra type fractional stochastic volatility models
11:45-12:20 Blanka Horvath
Learning rough volatility
12:25-14:00 lunch
14:00-14:35 Omar El Euch
Multi-factor approximation of rough volatility models
14:40-15:15 Eduardo Abi Jaber
Lifting the Heston model
15:20-15:40 coffee break
15:40-16:15 Alexandre Brouste
Parametric estimation in self-similar processes at high-frequency
16:20-16:55 Antoine Jacquier
Volatility options in rough volatility models

The workshop will take place in

amphitheater Lagarrigue

within the campus of Ecole polytechnique. See the access map below.

Registration is free but mandatory. Please email the organizers.

Organizers:

Josselin Garnier, Mathieu Rosenbaum, and Knut S°lna.

Sponsors:

École Polytechnique, Université Paris Saclay, Centre Cournot


Access

The workshop will take place in amphitheater Lagarrigue within the campus of Ecole polytechnique. The Ecole polytechnique is located in the south suburb of Paris. To get there, you may come by RER or by car.

By RER

RER B + Walking

- take RER B4 towards Saint Rémy-lès-Chevreuse and get off at Lozère (approx. 30-35 minutes from Denfert-Rochererau) ;
- when leaving the RER station, take the underground passage to cross the tracks ;
- take the road to the left of the restaurant, then climb the steps leading to Ecole Polytechnique (approx. 15 minutes).

RER B, C or TGV train station MASSY + Bus

- Get off at the Massy-Palaiseau station (approx. 25-30 minutes from Denfert-Rochererau) and take the Bus TransEssonne 91-06 (B or C), whose stop is located close to the footbridge between the TGV station and the RER B station. Get off at the stop "Lozère" of Ecole polytechnique (approx. 10 minutes).

By car

- Pont de Sèvres, N118 towards Chartres-Orléans, exit at Centre Universitaire, towards Ecole polytechnique ;
- A6a or A6b towards Chartres-Orléans, exit Saclay, Versailles, towards Saclay-Ecole polytechnique.

The amphitheater Lagarrigue is close to "Reception":
You can locate it precisely on this detailed map: