The following are the lectures given during the Gershon Fintech Center’s international conference entitled “Options: 45 Years After the Publication of the Black Scholes Merton Model,” hosted at Hebrew University, December 4-5, 2019. We were proud to have hosted Myron Scholes and have a live broadcast with Robert Merton, 1997’s Nobel Laureates for Economics.

 

LECTURES

Opening Remarks by Prof. David Gershon, The Gershon Fintech Center founder.

Greeting by Prof. Zvi Wiener, The school of business Dean.

David Gershon and Zvi Wiener

04.12

Lecture 1: Myron Scholes - Using Option Pricing Information to Time Diversify Portfolio Returns Stanford University, Nobel Laureate – Economics 1997

Lecture 2: Paul Wilmott - How Good Is Black-Scholes-Merton Really? Wilmott Associates

About volatility

Lecture 3: Peter Carr - What Does Implied Volatility Mean? NYU Tandon

Lecture 4: Damiano Brigo - Option Pricing Range under Statistically Indistinguishable Models: a New Look at Historical and Implied Volatilities Imperial College

Lecture 5: Menachem Brenner - VIX and Derivatives   NYU Stern

Rough Volatility

Lecture 6: Marek Musiela - Multivariate Fractional Brownian Motion and Generalizations of SABR Model Oxford University

Lecture 7: Paul Glasserman - Buy Rough, Sell Smooth Columbia University

Lecture 8: Mathieu Rosenbaum - No-Arbitrage Implies Rough Volatility Ecole Polytechnique

Lecture 9: Chris Rogers - Things We Think We Know Cambridge University

Lecture 10: Robert Merton – Live Video with Nobel Laureate Robert Merton, Distinguished Professor of Finance, MIT Sloan School & Nobel Laureate – Economics 1997

Volatility Smile Asymptotics

Lecture 11: Roger Lee - Cumulant Formulas for Implied Volatility University of Chicago

Lecture 12: Peter Tankov - Implied Volatility Smile Asymptotics: Black-Scholes and Beyond ENSAE

Lecture 13: Julien Guyon - On the Volatility Smile of Stochastic Volatility Bloomberg

 

05.12

Modern Approaches to Option Pricing

Lecture 14: John Hull - Understanding Implied Volatility Movements: A Machine Learning Approach University of Toronto

Lecture 15: Marco Avellaneda - Big Data in Finance: Risk Management of Large Option Portfolios via Monte Carlo Simulation NYU Courant

Lecture 16: David Gershon - A General Theory of Option Pricing Hebrew University

Lecture 17: Alexander Lipton - Old Problems, Classical Methods, New Solutions Sila and MIT

Local Volatility

Lecture 18: Bruno Dupire - 25 Years of Local Volatility and Beyond Bloomberg

Lecture 19: Dariusz Gatarek - Towards a Universal Local Volatility Model IBSPAN

Option Markets

Lecture 20: Nicole El Karoui - Options markets: The French way Sorbonne Université

Lecture 21: Ehud Ronn - Option Prices in the Equity, Index and Commodity Markets: The Message from Markets University of Texas

Lecture 22: Haitao Li - Options Markets in China: The New Frontier

Beyond Option Pricing

Lecture 23: Phillip Protter – A New Approach to Insider Trading Columbia University

Lecture 24: Michel Crouhy - 45 Years of Applications of the Contingent Claim Approach to Corporate Finance, Banking and International Finance Natixis

The Future of Options

Lecture 25: Roundtable –  Dan Galai moderates a roundtable discussion with: John Davidson (OCC), Jan Van de Water (EOE), Bruno Dupire (Bloomberg), Myron Scholes (Stanford University) and Marek Musiela (Oxford University)

Closing Thanks

Closing Thanks – David Gershon Hebrew University