Talks
Recent Lectures
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Quadratic Rough Heston: SPX, VIX and the SSR (NYU Tandon, February 2026)
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The SSR under Quadratic Rough Heston (Chicago, October 2025)
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Computing skew-stickiness (London, November 2024)
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10 Years of Rough Volatility: A Current Perspective (Bologna, April 2024)
Selected Lectures
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The Complex Dynamics of Financial Prices (Collège de France, April 2021) YouTube ▶
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Diamond trees and the forest expansion (Bloomberg NY, January 2021)
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Three models of market impact (Chicago, May 2016)
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Rough volatility: An overview (LSE London, April 2017) YouTube ▶
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Arbitrage-free SVI volatility surfaces (Osaka, December 2012)
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No-Dynamic-Arbitrage and Market Impact (Chicago, November 2008)
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Consistent Modeling of SPX and VIX Options (Bachelier London, July 2008)
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A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives (Madrid, April 2004)