Others category
Jan
16
It is difficult to survive in a complicated business world without sound knowledge on economics, management, law, the ways of doing business, etc. Some top business school teaches its MBA students the knowledge, but not everyone is (indeed, only a few are) fortunate enough to enter Harvard, Stanford, or Wharton. Below is a list of top 20 movies that a business man needs to watch, some of them are even highly recommended by those business school professors. You will have a better understanding of the principles and rules of how the business world runs, it will help your career as well.
Disclaimer: the videos are embedded from Youtube uploaded by others, some are full version and others are Trailer. Please consider to buy the movies from Amazon.
A young and impatient stockbroker is willing to do anything to get to the top, including trading on illegal inside information taken through a ruthless and greedy corporate raider who takes the youth under his wing.
Disclaimer: the videos are embedded from Youtube uploaded by others, some are full version and others are Trailer. Please consider to buy the movies from Amazon.
1, Wall Street (1987)
A young and impatient stockbroker is willing to do anything to get to the top, including trading on illegal inside information taken through a ruthless and greedy corporate raider who takes the youth under his wing.
Jan
9
Online option calculator was shared several time before, for example, the post online derivative calculator, On-Line Options Pricing & Probability Calculators, etc. Today I came across another very clean website: online Option Pricing Models.
As the website describes:
I randomly tested the option calculators, they are working well, on top of that, the site is created by a French master student. So it is fine to give him credit with a separated post. Check it at http://pricing-option.com/Default.aspx.
As the website describes:
Quotation
You can get the price (and the Greeks) of the available options by applying several methods:
- Black & Scholes model for european options and greeks calculation.
- Bjerksund & Stensland model for american options.
- Binomial model (Cox, Ross & Rubinstein, Jarrow-Rudd Risk Neutral, Tian) for american and european options.
- Shifted Lognormal model for european options.
- Partial Differential Equation (PDE) approach: Finite Difference (FD) and Radial Basis Function (RBF) methods for american and european options.
- Monte-Carlo for digital option (Cash-or-Nothing) and european options and greeks estimation (FD and Malliavin).
Volatility models (SABR with calibration, Lognormal model, etc.) are also available.
- Black & Scholes model for european options and greeks calculation.
- Bjerksund & Stensland model for american options.
- Binomial model (Cox, Ross & Rubinstein, Jarrow-Rudd Risk Neutral, Tian) for american and european options.
- Shifted Lognormal model for european options.
- Partial Differential Equation (PDE) approach: Finite Difference (FD) and Radial Basis Function (RBF) methods for american and european options.
- Monte-Carlo for digital option (Cash-or-Nothing) and european options and greeks estimation (FD and Malliavin).
Volatility models (SABR with calibration, Lognormal model, etc.) are also available.
I randomly tested the option calculators, they are working well, on top of that, the site is created by a French master student. So it is fine to give him credit with a separated post. Check it at http://pricing-option.com/Default.aspx.
Oct
9
We know least-squares Monte Carlo simulation to price an American option is time consuming because it involves optimal exercise decision on every step of a large number of simulation (in the least square case, to run a polynomial regression on cash flows and decide whether it is optimal to exercise or not). I once shared a simple Matlab file to illustrate the least squares Monte Carlo simulation. The situation becomes worse if we allow the presence of stochastic volatility and interest rate, typically my codes run quite a few minutes for 50,000 number of simulations.
In the paper "Fast Monte Carlo Valuation of American Options under Stochastic Volatility and Interest Rates" by Y. Hilpisch, the author demonstrates with Python script that the Least-Squares Monte Carlo (LSM) algorithm with control variates takes only less than one second to achieve satisfying accurateness. The overall statistics taken from the paper are as follows, AMAZING!
Download the paper and accompanying Python codes at http://www2.visixion.com/dok/Fast_MCS_SVSI.pdf
In the paper "Fast Monte Carlo Valuation of American Options under Stochastic Volatility and Interest Rates" by Y. Hilpisch, the author demonstrates with Python script that the Least-Squares Monte Carlo (LSM) algorithm with control variates takes only less than one second to achieve satisfying accurateness. The overall statistics taken from the paper are as follows, AMAZING!
Download the paper and accompanying Python codes at http://www2.visixion.com/dok/Fast_MCS_SVSI.pdf
Oct
27
I am a newbie on MySql, have googled 2 hours but without a convincing answer, could you please recommend a good way to import a large CSV file into MySql? say a file of 6GB with 40 million rows? no matter through a client software or simple command line.
Cheers,
Biao
PS: Nick, thanks a lot for your reply, I have tried your way & it took me 1 hour and 16 minutes to import my 40 million lines CSV into MySQL on my humble laptop. That's great. My next task then is to check the performance of RMySQL package.
Cheers,
Biao
PS: Nick, thanks a lot for your reply, I have tried your way & it took me 1 hour and 16 minutes to import my 40 million lines CSV into MySQL on my humble laptop. That's great. My next task then is to check the performance of RMySQL package.
LOAD DATA INFILE 'data.csv' INTO TABLE tbl_name
FIELDS TERMINATED BY ',' ENCLOSED BY '"'
LINES TERMINATED BY '\r\n'
IGNORE 1 LINES;
FIELDS TERMINATED BY ',' ENCLOSED BY '"'
LINES TERMINATED BY '\r\n'
IGNORE 1 LINES;
Oct
21
This post is for those researchers using TRACE US corporate bond data as me. NASD introduced TRACE (Trade Reporting and Compliance Engine) in July 2002 in an effort to increase price transparency in the U.S. corporate debt market. The system captures and disseminates consolidated information on secondary market transactions in publicly traded TRACE-eligible securities (investment grade, high yield and convertible corporate debt) - representing all over-the-counter market activity in these bonds.
However the more I use the data, the more I realize its problem, one of the big issues is the repetitive order with the same amount and price, which definately brings trouble when the data is used for trading volume calculation, such as for Amihud's liquidity measure. Besides the duplicate issue, reversals & the same-day corrections are two major errors of TRACE data, as noted in the paper Liquidity biases in TRACE by Jens Dick-Nielsen,
However the more I use the data, the more I realize its problem, one of the big issues is the repetitive order with the same amount and price, which definately brings trouble when the data is used for trading volume calculation, such as for Amihud's liquidity measure. Besides the duplicate issue, reversals & the same-day corrections are two major errors of TRACE data, as noted in the paper Liquidity biases in TRACE by Jens Dick-Nielsen,
