An Introduction to Options, Non-linear Payoffs and Risk Margining

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Venue Capacity: 80 people

The capacity of the venue is about 80 people but because of no-shows, we have a policy of first-come, first-served on the night in the event of the room filling up. Managing no-shows is a problem all Meetups have to deal with and this is the fairest method we can think of. While we have never been in a position to turn anyone away for capacity reasons, it is always a possibility, so please arrive early to avoid disappointment on the night.

Options, like many other financial derivatives, are an important part of the risk landscape in the global economy.

In this talk I introduce the basics of what options are, some practical considerations about how they are used for both hedging and speculation, and the standard methods for pricing these instruments.

With the basics established, we then discuss methods for assessing the risk of a portfolio of options and an unusual approach I had to take to calculate the margin on a book of business due to some non-standard regulatory requirements. This approach uses a combination of functional programming, optimisation and method dispatch, along with the potential for some clever ML approaches to further improve performance.

Dublin Data Science would like to thank Stelfox IT Recruitment for sponsoring the venue.