Option Pricing 101

Hi everyone,

Time for our third meetup! Please know that we are very open to other people organizing meetups or initiating speakers/topics in this group. Feel free to reach out to one of us if you have a good idea. During the meetup itself there will be plenty of time before and after the talk to discuss this in more detail!

Looking forward to seeing you soon!

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About the talk
In the talk we introduce you to the theoretical and practical aspects of pricing financial derivative, especially options. We start out by introducing the simplest financial derivatives. These derivatives depend on their, so called, underlying, which itself is often a traded financial contract. How can we hope to value derivatives if we cannot make sense of the prices of their underlying on which they depend? For analysing the prices of the underlying we build a simple stochastic model for the returns of the underlying. In order to finally arrive at the famous Black Scholes model we need to understand how the market enforces arbitrage free prices. Putting it all together we can develop analytical and numerical ways to price derivatives. You will also learn what parameters influence the value of derivatives and what numerical models can be used to price them. Finally we look at how real markets diverge from our simple model assumptions and how we can adjust for this.

Please note: This talk introduces you to the Black Scholes model assuming no prior exposure to financial mathematics. The talk targets people not working in the financial industry as it is an introduction at textbook level.

About the speaker
Heiko Schäfer is a Quant Developer/Analyst at IMC and mainly works on IMC's option pricing algorithms. When IMC set out to replace it's third party trading software many years ago, Heiko was part of the team to develop IMC's own pricing library.
Heiko studied at TU Berlin, Trinity College Dublin, the Max Planck Institute of Colloids and Interfaces and holds a PhD in Computational Chemistry from ETH Zurich.

The schedule
06:00 PM – Socializing with food and drinks
06:50 PM – Intro
07:00 PM – Talk part 1
07:45 PM – Break
08:00 PM – Talk part 2
09:00 PM – Closing drinks
10.00 PM – The end

If you would like to have drinks after 10:00 PM, IMC recommends going to WTCafé De Blauwe Engel. This café is located in the WTC, on your way out to train station Amsterdam Zuid.

If you cannot make it at 6.00 PM that’s not a problem but try to be there before the talk starts at 7.00 PM.

The location
IMC is hosting this event. The office is located in the WTC of Amsterdam. Parking facilities are available (at own expense) but they recommend you to come by public transport. The office is located just 5 minutes’ walk from train/metro station Amsterdam Zuid.

Please note: IMC will be able to host approx. 50 attendees with a small chance of not having enough seats if more people choose to attend. A few people may have to stand/lean during the talk.