应用数学研究所
学术报告


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Speaker:

Dr. Yiming Hu,Ulysses Commodities, llc.

Inviter: 刘克 研究员
Title:
Notes on CME/ICE Span System (Risk Margin) and Option Trading
Time & Venue:

2019.1.28 10:00 N613

Abstract:

This talk is to give some overview on CME/ICE Span System (Margin Risk). It also covers some details on how the trading firm and the brokerage firm applying them in daily future and option trading. How to utilize some mathematical optimal tool in order to benefit it from firm's daily future and option trading activities. As some extension, the talk also to give some overview on option trading system and to explain why CME/ICE Span System plays a very important role in routine Daily Option Trading.
This talk assumes listener who interesting financial career and has some basic knowledge on option trading such as Volatility Curve, Option Pricing, Portfolio/Margin Risk Management and some basic optimal methods.

Affiliation:  

学术报告中国科学院数学与系统科学研究院应用数学研究所
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