Implied Volatility with Pandas AND Python in Excel

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.