Computational Finance Virtual Conference
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2009/12/13 22:38 | by abiao ]
2009/12/13 22:38 | by abiao ]
Got an email just now from MathWorks about a Computational Finance Virtual Conference, which might attract you as well, so I just put the email here:
Still Time to Access Exclusive Content from the Computational Finance Virtual Conference.
Even if you did not register for the conference, there is still time for you to view the conference presentations, research products on the exhibit floor, and see why hundreds of your peers from around the world attended the Computational Finance Virtual Conference.
Conference Highlights
Keynote Speakers
Managing Diversification
[Dr. Attilio Meucci, Head of Research Bloomberg ALPHA Portfolio Analytics and Risk] Dr. Attilio Meucci, Head of Research Bloomberg ALPHA Portfolio Analytics and Risk
Rigorous Intraday Trading: Best Quantitative Practices to Minimize Your Tracking Error
[Charles-Albert LeHalle Head of Quantitative Research Credit Agricole Chevreux] Charles-Albert LeHalle Head of Quantitative Research Credit Agricole Chevreux
Who Should Attend
• Traders
• Economists
• Actuaries
• Risk managers
• Portfolio managers
• Quants
See exclusive keynotes by Dr. Attilio Meucci from Bloomberg; and Dr. Charles LeHalle from Credit Agricole Chevreux. View conference presentations by MathWorks product experts, research the latest information on MATLAB and several products designed specifically for the financial industry.
Featured Conference Presentations:
• Insuring Our Future: Projection Systems, Liabilities, and Assets
• Managing Diversification
• When Will the Recession End? Multivariate Time-Series in Econometrics
• Rigorous Intraday Trading: Best Quantitative Practices to Minimize Your Tracking Error
• Knowing Your Risk: Credit Value at Risk Calculation
After a simple free registration you will be led to a page where visual conference is being hold, where you can watch conference video at conference hall, download resource at resource center, chat with representatives at exhibition hall, have a casual talk with other people at networking lounge, etc.
Interesting, register Until January 15 here.
Still Time to Access Exclusive Content from the Computational Finance Virtual Conference.
Even if you did not register for the conference, there is still time for you to view the conference presentations, research products on the exhibit floor, and see why hundreds of your peers from around the world attended the Computational Finance Virtual Conference.
Conference Highlights
Keynote Speakers
Managing Diversification
[Dr. Attilio Meucci, Head of Research Bloomberg ALPHA Portfolio Analytics and Risk] Dr. Attilio Meucci, Head of Research Bloomberg ALPHA Portfolio Analytics and Risk
Rigorous Intraday Trading: Best Quantitative Practices to Minimize Your Tracking Error
[Charles-Albert LeHalle Head of Quantitative Research Credit Agricole Chevreux] Charles-Albert LeHalle Head of Quantitative Research Credit Agricole Chevreux
Who Should Attend
• Traders
• Economists
• Actuaries
• Risk managers
• Portfolio managers
• Quants
See exclusive keynotes by Dr. Attilio Meucci from Bloomberg; and Dr. Charles LeHalle from Credit Agricole Chevreux. View conference presentations by MathWorks product experts, research the latest information on MATLAB and several products designed specifically for the financial industry.
Featured Conference Presentations:
• Insuring Our Future: Projection Systems, Liabilities, and Assets
• Managing Diversification
• When Will the Recession End? Multivariate Time-Series in Econometrics
• Rigorous Intraday Trading: Best Quantitative Practices to Minimize Your Tracking Error
• Knowing Your Risk: Credit Value at Risk Calculation
After a simple free registration you will be led to a page where visual conference is being hold, where you can watch conference video at conference hall, download resource at resource center, chat with representatives at exhibition hall, have a casual talk with other people at networking lounge, etc.
Interesting, register Until January 15 here.
My tweets of the week 12.05 ~ 12.11
[ 2009/12/12 15:31 | by abiao ]
2009/12/12 15:31 | by abiao ]
1, Want to invest like the former Merrill Lynch champ? Bob Farrell's 10 Rules For Investing, http://tinyurl.com/yakjony;
2, is there financial crisis in China in the near future? http://ftalphaville.ft.com/blog/2009/12/10/88276/attention-anthony-bolton/;
3, Ultimate Guide To Becoming A Quant By Mark Joshi, http://www.simoleonsense.com/ultimate-guide-to-becoming-a-quant-by-mark-joshi/;
4, Where Wall Street Gets Drunk, http://www.businessinsider.com/where-wall-street-drinks-2009-12;
5, I'm doing 'God's work'. Meet Mr Goldman Sachs, http://www.timesonline.co.uk/tol/news/world/us_and_americas/article6907681.ece;
6, Capacity and Factor Timing Effects in Active Portfolio Management, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1516469.
Share your tweets by
2, is there financial crisis in China in the near future? http://ftalphaville.ft.com/blog/2009/12/10/88276/attention-anthony-bolton/;
3, Ultimate Guide To Becoming A Quant By Mark Joshi, http://www.simoleonsense.com/ultimate-guide-to-becoming-a-quant-by-mark-joshi/;
4, Where Wall Street Gets Drunk, http://www.businessinsider.com/where-wall-street-drinks-2009-12;
5, I'm doing 'God's work'. Meet Mr Goldman Sachs, http://www.timesonline.co.uk/tol/news/world/us_and_americas/article6907681.ece;
6, Capacity and Factor Timing Effects in Active Portfolio Management, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1516469.
Share your tweets by
Ad hoc Black Scholes model for Option Pricing
[ 2009/12/09 22:16 | by abiao ]
2009/12/09 22:16 | by abiao ]
One shortcoming of Black Scholes is its constant volatility assumption, lots of extension has been done to improve its out-of-sample performance, to name a few, heston stochastic volatility model, SABR stochastic volatility model and Garch option pricing. Here is a paper "On Justifications for the ad hoc Black-Scholes Method of Option Pricing" where the author interpolates the implied volatility, substitutes the result into Black Scholes formula, which outperforms the original Black Scholes model. Straightforward and few more lines to your codes are enough.
Download the PDF at http://www.uh.edu/~jberkowi/ and the matlab files at http://www.bepress.com/snde/vol14/iss1/art4/.
Quotation
Abstract: One of the most widely used option valuation procedures among practitioners is a version of Black-Scholes in which implied volatilities are smoothed across strike prices and maturities. A growing body of empirical evidence suggests that this ad hoc approach performs quite well. It has previously been argued that such a procedure works because it amounts to a sophisticated interpolation tool. We show that this is the case in a formal, asymptotic sense. In addition, we conduct some simulations which allow us to examine the importance of the sample size, the order of the polynomial, and the recalibration frequency in controlled settings. We also apply the ABS approach to daily S&P 100 index options to show that the procedure outperforms the Black-Scholes formula in valuing actual option prices out-of-sample.
Download the PDF at http://www.uh.edu/~jberkowi/ and the matlab files at http://www.bepress.com/snde/vol14/iss1/art4/.
C/C++ for Numerical Computation
[ 2009/12/08 14:38 | by abiao ]
2009/12/08 14:38 | by abiao ]
A large list of C/C++ Sources for Numerical Computation, as its' website introduces:
This is a collection of pointers to:
* free source code available on the net,
* books which come with source code, and hence act as low-cost libraries,
* articles and documents, especially those available over the net.
Check it out if you happen to find it useful: http://cliodhna.cop.uop.edu/~hetrick/c-sources.html
This is a collection of pointers to:
* free source code available on the net,
* books which come with source code, and hence act as low-cost libraries,
* articles and documents, especially those available over the net.
Check it out if you happen to find it useful: http://cliodhna.cop.uop.edu/~hetrick/c-sources.html
Paul Wilmott's new book on quantitative finance
[ 2009/12/06 12:08 | by abiao ]
2009/12/06 12:08 | by abiao ]
Paul Wilmott has written a new book Frequently Asked Questions in Quantitative Finance
since his first version two years ago. I was really excited when I read the first version as he explained every question within several extremely easy paragraphs even for starters, which makes me recall what the CEO of alibaba once said during his presentation: "I would explain my business plan to my grandmother to make sure she is able to understand before we take action."
Anyway, I have ordered the new book and am still waiting for my package. Just a short comparision from the contents between first and second version, it seems besides the up-to-date of several chapters like "Popular Quant Books", "The Most Popular Search Words and Phrases on Wilmott.com" and "Brainteasers", the author adds a new chapter "the common mistakes in quantitative finance", which might refer to the current credit crisis and draw lessons from it. Plus, the author adds two more ways to derive Black Scholes formula to a total of twelve different ways, interesting.
Look forward to reading it.
since his first version two years ago. I was really excited when I read the first version as he explained every question within several extremely easy paragraphs even for starters, which makes me recall what the CEO of alibaba once said during his presentation: "I would explain my business plan to my grandmother to make sure she is able to understand before we take action." Anyway, I have ordered the new book and am still waiting for my package. Just a short comparision from the contents between first and second version, it seems besides the up-to-date of several chapters like "Popular Quant Books", "The Most Popular Search Words and Phrases on Wilmott.com" and "Brainteasers", the author adds a new chapter "the common mistakes in quantitative finance", which might refer to the current credit crisis and draw lessons from it. Plus, the author adds two more ways to derive Black Scholes formula to a total of twelve different ways, interesting.
Look forward to reading it.
