Factor Models For Volatility | Hanlon Financial Systems Center

Factor Models For Volatility

Factor Models For Volatility

seminar date: 
Thursday, November 12, 2015 - 5:30pm
seminar location: 
BC122
Alexey Polishchuk, Bloomberg L.P.
Abstract: 

The aim of the talk is to introduce factor models for volatility and show how they can be used to price and hedge different volatility-linked instruments with special focus on volatility swaps. Particular attention will be given to model independent bounds, historical patterns and calibration.

 

Bio: 

Alexey Polishchuk works in the Quant Research Group at Bloomberg L.P. Prior to joining Bloomberg, Dr. Polishchuk worked at Goldman Sachs & Co. in the Equity Volatility Strategies Group in New York supporting trading operations for the Equities index flow desk. Dr. Polishchuk holds a Ph.D. in Theoretical Physics from Steklov Mathematical Institute of the Russian Academy of Sciences and a Master's Degree in Financial Mathematics from Columbia University. His current research focuses on modeling of Equity and Fixed Income derivative instruments.