Financial Engineering Workshop - Dilip Madan (Robert H. Smith School of Business)  - Via Microsoft Teams

Financial Engineering Workshop - Dilip Madan (Robert H. Smith School of Business) - Via Microsoft Teams

by Faculty Events

Workshop

Wed, 28 Oct 2020

6:10 PM – 7:15 PM (GMT+0)

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Registration

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Sales Start Sep 28, 2020 at 10:30 AM Sales End Oct 28, 2020 at 2:00 PM Availability Unlimited Price FREE

Details

Dilip Madan is Professor of Finance at the Robert H. Smith School of Business. He specializes in Mathematical Finance. Currently he serves as a consultant to Morgan Stanley, Meru Capital and Caspian Capital. He will be giving an online seminar titled "Pricing and Hedging Options on Assets with Options on Related Assets" on Wednesday 28th October 2020 from 18:10 - 19:15.

Abstract
The problem studied is the pricing of options on the CBOE
Skew index. The option pricing theory developed seeks to hedge the risk using
positions in the market for options on a related asset and the option is then
priced at the cost of this hedge. The theory is applied to pricing VIX options
using the market for SPY options and pricing options on JPM using the market
for XLF options. The approach is then applied to illustrate the pricing of CBOE
Skew Index options using the market for SPY options. The Skew Index smile
is then seen to imply the VIX and SKEW of the Skew Index itself.

The Financial Engineering Workshop will now be online only via Microsoft Teams. 

For the link to the online seminar please register before 2pm on the day of the seminar otherwise you will not be given access. 



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