Financial Engineering Workshops - Paul McCloud

Title: The Relative Entropy of Expectation and Price

Abstract: Understanding the relationship between expectation and price is central to applications of mathematical finance, including algorithmic trading, derivative pricing and hedging, and the modelling of margin and capital. In this presentation, the link is established via entropic risk optimisation, which is promoted for its convenient integration into established pricing methodologies. As a demonstration of its versatility, the entropic method is applied in a study of option pricing with quantum information.

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