Mathematical Finance & Financial Data Science Seminar

Portfolio Optimisation with Options

Speaker: Thomas Huckle and Jonathan Chan, Flow Traders and Kaiju Capital Management

Location: Online Zoom access provided to registrants

Date: Wednesday, May 18, 2022, 5:30 p.m.


We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality and dependence structure. To do so, we propose a new dependency matrix, built upon conditional probabilities between options' payoffs, and show how it can be computed in closed form given a copula structure of the underlying asset prices. The empirical evidence we provide highlights that this approach is efficient, fast and easily scalable to large portfolios of (mixed) options.


Jonathan Chan is a quantitative researcher at Kaiju Capital Management. His research focuses on building and back testing data-driven AI models, in order to enhance systematic trading systems. He holds an MSc in Mathematics and Finance from Imperial College London and an MSc in Engineering from the French school CentraleSupélec.

Thomas Huckle is a quantitative trader at Flow Traders, having previously worked as a quantitative researcher at Kaiju Capital Management. His research interests include market microstructure and applications of AI in systematic trading strategies and portfolio optimisation.  He graduated from Imperial College London with an MSc in Mathematical Finance and Durham University with an MSci in Mathematical Physics. 


This event is free, but requires registration.  Please click here to register.  You will then receive the Zoom link by email about a day or so before the event.