Julien Guyon - Risk.net
Latest articles authored by Julien Guyon
Source: risk.net
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Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Source: risk.net
Explained: How a 48-team World Cup could work
FIFA is still to confirm the exact format for an expanded World Cup - here The Athletic looks through a few of the issues...
Source: theathletic.com
Degree of influence: volatility shakes markets and quant finance
Risk.net Volatility and machine learning were among the top research areas for quants this year Perhaps fittingly in a year of unexpected turbulence, Risk.net’s Cutting Edge section published a flurry of papers on volatility modelling in 2020. Among them was a pair of solutions to a problem that has baffled quants for more than a decade – the joint calibration of S&P 500 and Vix options. Julien Guyon, a senior quantitative analyst at Bloomberg, performed the calibration with a discrete-time optimal transport model, which, according to the Only users who have a paid subscription or are pa...
Source: risk.net