HKML S8E5 - Meetup @ Barclays

About this event

\*\*\*ATTENTION\*\*\* We are delighted to announce that our next meetup will be in cooperation with Barclays. Special thanks to our sponsor, Barclays, for making this event happen. \-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\- You must register in the google form to get the final invitation. Register here (https://forms.gle/D2f7G4UQAWLBrQig8) \-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\- First Speakers: Topic: Pricing Equity Exotic Options with Machine Learning Summary: We describe a framework for pricing mono/multi-asset path-dependent autocallable options in local and stochastic volatility models, using fast machine learning-based algorithms. We discuss business objectives, dataset generation, model architecture, evaluation metrics, as well as challenges including distribution drift and scalability. Olaf Torne is an equity derivatives quant at Barclays; he holds a PhD in mathematics from Brussels University. Jiaxin Liu is an equity derivatives quant at Barclays; she holds a PhD in financial technology from the Hong Kong University of Science and Technology. Yuefeng (Oliver) Si is an equity derivatives quant at Barclays; he holds a PhD in statistics from the University of Hong Kong. \-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\- Speaker 2: Fenni Kang Topic: AI in Digital Asset Derivatives: From Business Applications to Trading Signals Summary: This talk explores how CoinCall, a leading crypto options trading platform, leverages AI across its business—ranging from software development and cybersecurity to operational automation. It will also examine AI-generated trading signals, including how market data is used to identify trading opportunities and translate them into crypto trading strategies. Bio: She is Chief Strategy Officer at CoinCall and Partner at Big Candle Capital, a crypto hedge fund. He previously worked as a quantitative trader specializing in Forex and crypto options. He holds a PhD in Applied Mathematics from École Centrale Paris. \-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\- Speaker 3: James O'Donovan Topic: 0DTE Options and the Price of S&P 500 Crash Protection Summary: In May 2022, S&P 500 options that expire on the day they trade ("0DTE" options) became available on every weekday. Soon after, crash protection on the S&P 500 became cheaper. The drop was largest for protection one month from expiry, about 0.7 percentage points. We compare options of different maturities and find that the drop was in downside protection specifically. The pattern doesn't appear at other dates or in other assets, which suggests 0DTE options caused it. Customers moved their put buying into contracts expiring within a few days. Daily expiries can't hedge risk that builds up overnight, though, so the shortest-dated protection got cheaper by less. From May 2022 to June 2024, investors paid about $0.9–1.5 billion less for crash insurance. The price of crash protection now reflects how cheaply dealers can manage risk, not only how much investors fear a crash. Bio: He is an associate professor of finance at City University of Hong Kong, with publications in top journals like the Journal of Financial Economics and The Review of Financial Studies. He holds a finance PhD from INSEAD and won the Thetos Young Scholar Award in 2023. \-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\-\- Time: Thursday, October 22th, 2026, 6:00 PM to 8:30 PM HKT (Registration start at 6:15pm) NOTE: This meetup is exclusive and the final list of attendees is at the discretion of the host. You will r