SciComp - Futures Volatility Surface Calibrator

Celebrating Derivatives

"Celebrating Derivatives" was name of the conference I attended in Amsterdam on Thursday. (I will upload an audio file of my lecture shortly, assuming the recording is acceptable.) I arrived towards the end of the conference so missed almost all of the talks except for Jim Gatheral speaking on volatility forecasting. This seems to be all the rage at the moment. I don't mean being late or Jim Gatheral are all the rage, anyway no more or less than usual, rather vol forecasting is.

The panel discussion (John Hull, Claudio Albanese, JG, Antoon Pelsser and me, overseen by Ton Vorst) was great fun. My favourite bit was John Hull trying to persuade the audience of the value of an MBA above more mathematical programmes. Now JH is a lovely man, but even he couldn't convince this audience! (Do you really get more interpersonal and business skills on an MBA than you should have picked up naturally by the age of six? I don't think so.)

JH had been talking about CDOs and CDO^2s, mentioning that he knew of some CDO^3s that had been done. Exp(CDO) anyone?

The photo above is of the gift I was given by the organizers. All of the speakers were given their own personalized JG said "of a lot of bald guys."