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Neither God nor Machine: Man's model

Speaker: Elie Ayache

CQF Institute is proud to bring you a free online talk with Elie Ayache on Neither God nor Machine: Man's model. 

Event Agenda 

17:30 - 18:00 GMT - Networking and CQF Booth 

18:00 - 19:30 GMT - CQF Institute Talk: Elie Ayache

19:30 - 20:00 GMT - Networking and CQF Booth 

This event can earn you up to 2 CPD credits.


Recent propositions in derivative pricing and stochastic volatility modelling suggest that truth exists below the surface of derivative and asset prices, truth as seen from God's point of view, and that this final truth is the rough volatility model. By contrast, the market models approach (e.g. Bergomi) finds no place for such underlying truth, or indeed underlying stochastic process, and believes only in surface models, where derivatives are themselves the underliers and their price is the only fact, produced solely by the machinic, automatic, autonomous and anonymous logic of the market. 

We attempt to strike the right balance between these two extremes, and to find the only truthful derivative pricing model, neither God's nor the machine's: what we call Man's model.

Speaker's Bio

Elie Ayache is a former option market-maker on MATIF (1987-1990) and LIFFE (1990-1995). He is the co-founder (1999) and currently the CEO of ITO 33, a software company specializing in convertible bond pricing, and more generally equity index and equity-to-credit single name derivative pricing. Elie is the author of The Blank Swan: The End of Probability (Wiley 2010) and The Medium of Contingency: An Inverse View of the Market (Palgrave 2015).