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1:30 pm Financial Math Seminar: Dr. Julien Guyon (Columbia & NYU ) @ Whitehead 304
Financial Math Seminar: Dr. Julien Guyon (Columbia & NYU ) @ Whitehead 304
Apr 17 @ 1:30 pm – 2:30 pm
Title: On the joint calibration of SPX and VIX options Abstract: Since VIX options started trading in 2006, many researchers have attempted to build a model for the SPX that jointly calibrates to SPX and VIX[...]
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