Further Talks

• Volatility is rough (Baruch College, March 2024)

• Computing skew-stickiness (Bloomberg NY, November 2023).

• Skew-stickiness under rough volatility (Barcelona, November 2023)

• Pricing in affine forward variance models (Barcelona, November 2022)

• Diamond trees, forests, cumulants, and martingales (Columbia, 2020)

• Diamond trees, forests, and the exponentiation theorem (Toronto, June 2019)

• Rough volatility (Osaka, January 2016)

• Random Matrix Theory and Correlation Estimation (Baruch College, February 2015)
  • Companion R-code: RMT.R

• Fractional volatility models (Bloomberg NY, June 2014)

• Fast Ninomiya-Victoir calibration of the Double-Mean-Reverting model (Okinawa, October 2013)

• Joint modeling of SPX and VIX (Beijing, October 2013)

• The Volatility Surface: Statics and Dynamics (Bloomberg NY, January 2013)

• Market Impact with Autocorrelated Order Flow Under Perfect Competition: The Donier Model (Paris, December 2012).

• Optimal order execution( Boston, October 2011).

• The execution puzzle: How and when to trade to minimize cost (Campos do Jordão, August 2011)

• The variational most-likely-path (Paris, April 2011)

• Optimal Order Execution (Paris, April 2010)

• Price manipulation in models of the order book (Búzios, November 2009)

• Developments in Volatility Derivatives Pricing (Paris, May 2007)

• Valuation of volatility derivatives (NYU Stern, February 2006)

• Rational Shapes of the Volatility Surface (Boston, June 2000)

• Volatility and Hedging Errors (Columbia, September 1999)