Dr. Bruno Dupire, Bloomberg and NYU.
Public lecture
SLIDES PHOTOS POSTER

An Idiot's Guide to Option Pricing

Abstract: Option pricing puzzles the intuition; for instance the fair price of an option that pays when the market goes up does not depend on the probability the market goes up! We present and illustrate the main principles of option pricing, such as uncertainty modeling, arbitrage, completeness, risk neutrality, hedging, dominance, forward quantities, numerical methods,.... We make liberal use of toy examples to illustrate main concepts and paradoxes.