The podcast welcomes Rob Navin, Founder of Real Time Risk Systems to discuss his new method of estimated a realized volatility based on P&L from a constant gamma position.  This is a deep dive quant discussion on Option strategies. Estifanos Shekour, MFE also join the podcast and share his experience on designing option strategies.

Link to Discussion Article
https://optionstree.substack.com/p/gamma-capture-realized-volatility-9b5

https://www.linkedin.com/in/robnavin/
https://www.linkedin.com/in/estifanos-shekour/
https://www.linkedin.com/in/patrick-z-08bb5b5a/

Lehigh MFE Linkedin Page
https://www.linkedin.com/company/lehigh-master-in-financial-engineering

Gamma Capture

Damiano Brigo, chair of mathematical finance at Imperial College London, shares his thoughts on the lost causes, the present role and the future prospects of quantitative finance.

Damiano Brigo – 22/01/18

In this podcast excerpt, Ritwik Gupta and Carson Sestili describe deep learning and how it differs from machine learning.  “As you compose more and more non-linear functions together, you can represent a much wider function space than you could with just one non-linear function. That is why deep learning is different from shallow learning. Shallow learning doesn’t compose multiple things together. Deep learning does.”

Deep Learning in Depth: Deep Learning versus Machine Learning

Created by Professor Patrick Zoro The podcast aims to capture the latest trends in Data analytics, Asset Management, Blockchain, Risk Management.

Patrick Zoro is also the program manager of the Master of Financial Engineering program at Lehigh University

https://cbe.lehigh.edu/academics/graduate/master-analytical-finance

Gamma Capture

The Quant / Financial Engineering Podcast

Related tracks