The Implied Risk Neutral Distribution and its practical application in Financial Risk Management. (A Cantab Capital Institute Seminar)

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• Dr Camilla Schelpe
• Thursday 19 May 2016, 16:00-17:00
• MR4.

If you have a question about this talk, please contact Stephanie North.

I will start with an introduction to Cantab Capital and the world of systematic hedge-funds. One of the important tasks faced in the industry is the accurate estimation of risk and future volatility. Vanilla call and put options traded in the derivatives market provide a rich source of information for gauging market sentiment. Assuming risk neutral pricing, it is possible to construct a probability distribution for the price of the underlying asset implied by the option prices. I will give a whistle-stop tour through the basics of option pricing, and demonstrate their potential role in risk management.

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