Implied Volatility with Pandas AND Python in Excel

  • Mar 6, 2014 · 7:00 PM
  • This location is shown only to members

Besides Pizza, Beer and other drinks, we'll have Brian Spector of NAG presenting "Implied Volatility using Python's Pandas Library." Brian will discuss a technique and script for calculating implied volatility for option prices in the Black-Sholes formula using Pandas and nag4py. Also, we will fit varying degrees of polynomials to the volatility curves, examine the volatility surface and its sensitivity with respect to the interest rate.

Then Aaron Watters of Enthought will present an overview of replacing VBA with Python in Excel using the PyXLL package. No more Excel Hell.

Let me know if you plan to join us downtown.

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  • Brett R M.

    The presentations are up on the NY QPUG Vimeo page. Enjoy!

    1 · March 13, 2014

  • burt

    I don't think I'll be able to make it. Will any material be posted?

    February 21, 2014

    • John H.

      Hi Andrew, I think Brett will post them on the meet-up soon, but in the mean time­

      March 12, 2014

    • Andrew


      March 12, 2014

  • imran a.

    Should one be more familiar with Black-Sholes formula or NAG's python implementation? Meetup topic a bit misleading. Being beginner don't want to get more confused.

    March 2, 2014

    • Brian S.

      Not at all! My talk will provide an introduction to these tools for beginners. The advanced-expert users should like the volatility curves/surface, and speeding up computations in python.

      March 4, 2014

    • imran a.

      Thank you brian look forward to learning :)

      March 6, 2014

  • Vivek M.


    March 5, 2014

  • Wilfred


    March 2, 2014

  • A former member
    A former member

    Currently using R, I am looking to get started with panda

    February 28, 2014

  • Max W.

    Looking forward to some insight into the options world

    February 28, 2014

  • Michael F.

    Ugh, why schedule it at the same time as the Quantopian algo meetup?

    February 21, 2014

    • Brett R M.

      Oops. Missed that one. We'll be posting videos and slides.

      February 21, 2014

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