​Join us at Vintry & Mercer London for an Exclusive Morning of Insight and Innovation

​Step into Vintry & Mercer London for an intimate morning where advanced quantitative finance intersects with Swiss craftsmanship. At the heart of this private breakfast is Grégoire Loeper, world-renowned expert in local volatility modeling and Optimal Transport theory, and current Senior Scientific Advisor at BNP Paribas. From theory to production, Loeper has redefined what precision means in model calibration.

​You’ll discover genOTC, the next-generation SaaS platform born from his academic breakthroughs and market experience — delivering exact, robust, and arbitrage-free calibration for volatility models at scale.

​​Like the inner workings of a fine timepiece, model calibration requires more than intuition — it demands mathematical exactitude. This event offers a rare opportunity to explore how Optimal Transport, once a theoretical concept, now powers a transformative approach to quantitative modeling.

​​Enjoy coffee, fine pastries, and candid conversation with leaders in quantitative research, trading, and risk management — and experience the precision of Swiss craftsmanship with Ulysse Nardin.

​Seats are strictly limited. Register now to secure your place.

​Session Abstract:

​From Monge (1781) to Black–Scholes–Merton (1973): Derivatives Pricing, Volatility Calibration, and Optimal Transport

​Derivatives pricing relies on accurate model calibration — a task that is both critical and notoriously complex. In this session, we’ll demystify calibration, explain why it matters, and show how optimal transport offers an elegant, modern solution.

​From Models to Markets: Precision That Pays Off

​Volatility impacts every corner of finance — from trading and pricing to risk management and valuations. In this session, we’ll explore why precise, consistent volatility modeling matters, how small errors can cascade across markets, and why robust, reliable models are essential for better decisions and trusted financial outputs.

​Live Demo: From Theory to Practice with Seamless App Integration

​Finally, we’ll move from theory to practice with a live demonstration of genOTC’s local volatility calibration solution, both via app and API. See how advanced mathematics can be seamlessly integrated into everyday financial decision-making.