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Description:
prsentation by Jim Gatheral
Outline of this talk
n A compound Poisson model of stock trading
n The relationship between volatility and volume
n Clustering
n Correlation between volatility changes and log returns
n Stochastic volatility
n Dynamics of the volatility skew
n Similarities between stochastic volatility models
n Do stochastic volatility models fit option prices?
n Jumps
n The impact of large option trades