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: 
Alexey Polishchuk, Bloomberg L.P.

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.



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.