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Jul 24
A Zip file containing the examples that were used in the MathWorks webinar: "Pricing Derivatives Securities using MATLAB".

Highlights:
* Pricing a portfolio of vanilla options using Black-Scholes, a Binomial Tree and Monte Carlo simulation.
* Pricing exotic options using the implied trinomial tree (ITT) method
* Hedging using derivatives
* Pricing interest rate derivatives using the BDT model

http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=14508
Jul 24
Parameters estimation of GARCH model.

http://w3.uniroma1.it/passalac/buffer/GARCH.xls

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Jul 24
Introduction:

    * "Financial Model Library" is a library of financial models in an Excel spreadsheet. The purpose of the library is to promote usage and better understanding of financial models.
    * All financial models in this section can be used free of charge and can be distributed.
    * We hope that you can also contribute to the library of financial models by submitting your Excel model spreadsheet in the format consistent with our models. The rules for submission are similar to that of a Journal. That is:
          o We maintain the right to reject your submission or suggest
          o revisions of the models
          o We reserve the copyright of the Excel spreadsheet model.
    * The site is not responsible for any errors in the models and copyright violation of any models submitted.

http://www.thomasho.com/mainpages/analysoln.asp
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Mar 22

About me

Posted by abiao at 17:56 | Others | Comments(21) | Reads(70444)




Biao Guo
Beijing, China
Biao.Guo@outlook.com


Work Experience
09/2017–Now       Associate Professor, School of Finance, Renmin University, China
09/2013–08/2017  Assistant Professor, School of Finance, Renmin University, China
05/2013–08/2013  Visiting Researcher, Business School, Xi'an Jiaotong-Liverpool University, China
05/2010–07/2010  Quantitative Consultant Intern, Fintegral Consulting, U.K.
10/2008–07/2009  Statistical Quantitative Researcher, AHL, Man Group, U.K.
01/2007–07/2007  Manager of Risk & Innovation Team, xQuant, China
09/2004–12/2006  Quantitative Analyst, xQuant, China

Education
09/2009–03/2013  PhD in Finance, University of Nottingham, U.K.
08/2007–09/2008  Master of Advanced Studies (MAS) in Finance, Swiss Federal Institute of Technology (ETH), Switzerland
10/2002–08/2004  Master of Economics, University of Konstanz, Germany
09/1998–07/2002  Bachelor of Economics, TongJi University, China
        
Research Interests
Liquidity and default risk for fixed income products, asset / derivative pricing, market uncertainty, statistical arbitrage opportunity

Publication
Guo, B., Han, Q., Lin, H., 2017, Are There Gains from Using Information over the Surface of Implied Volatilities? Journal of Futures Markets
Xun, J.Y., Guo, B., 2017, Twitter as customer’s eWOM: an empirical study on their impact on firm financial performance. Internet Research
"Why doesn't the choice of performance measure matter?", with Yugu Xiao. Finance Research Letters, 2016, Forthcoming
"CDS inferred stock volatility", Journal of Futures Markets, 2016, Forthcoming
"How important is a non-default factor for CDS valuation? A non-parametric analysis", With Qian Han, Jaeram Lee, Doojin Ryu. Journal of Futures Markets, 2015, 35(11), 1088–1101
"Sell in May and go away: Evidence from China", with Xingguo Luo, Ziding Zhang. Finance Research Letters, 2014, 11, 362-368
“The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components”, with Qian Han and Bin Zhao, Journal of Futures Markets, 2014, 34(8), 788-806
“Regime Dependent Liquidity Determinants of Credit Default Swap Spread Changes”, with David Newton, Journal of Financial Research, 2013, 36(2), 279-298
“Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction”, with Qian Han and Doojin Ryu, Journal of Futures Markets, 2013, 33(7), 629-652
“A Tale of Two Index Futures: The Intraday Price Discovery Process between the China Financial Futures Exchange and Singapore Exchange”, with Qian Han, Maonan Liu, and Doojin Ryu, Emerging Markets Finance and Trade, 2013, 49(4), 207-222
“Asymmetric and Negative Return-Volatility Relationship: the Case of the VKOSPI”, with Qian Han, Doojin Ryu, and Robert I. Webb, 76, 2012, Investment Analysts Journal, 2012, 76, 69-78  
“Pricing Convertible Bonds with Embedded Parisian Options: Theory and Evidence”, with Fangyi Jin, Review of Futures Markets, 2011, 29(1), 59-82

Working paper
"The New Dominance of Accelerated Seasoned Equity Offerings", with Kai Dai, and David Newton, Revised & Resubmitted
"Sovereign Credit Spread, International Influence and Country Governance", with Kai Dai, and David Newton, submitted
"Macro Factors in Corporate Bond Credit and Liquidity Spreads", with Songtao Wang, submitted
"Forecasting the Term Structure of Implied Volatilities", with Qian Han, and Hai Lin, submitted
"Sovereign Credit Spreads Spillover in Asia: Kazakhstan’s Role", with Qian Han, Jufang Liang, and Doojin Ryu, submitted
"Modelling Sovereign Credit Term Structure with Macroeconomic and Latent Variables", with David Newton

Others
Language: Chinese (native), English (fluent)
Programming: Matlab, R, Python, C++, VBA

Add me as your friend:
Twitter: http://www.twitter.com/a_biao

Stumbleupon: https://www.stumbleupon.com/stumbler/biao/
LinkedIn: http://uk.linkedin.com/in/abiao
Google Plus: https://plus.google.com/115285921999509737652/

郭彪
Beijing, China
Biao.Guo@outlook.com


工作背景
09/2017-现在        副教授,财政金融学院,中国人民大学,中国
09/2013-08/2017   讲师,财政金融学院,中国人民大学,中国
05/2013-07/2013  访问学者,西交利物浦大学,中国
05/2010–07/2010  量化咨询师实习,Fintegral Consulting,英国
10/2008–07/2009  统计量化研究员,AHL,Man Group (曼氏基金) ,英国
01/2007–07/2007  风险创新组经理,衡泰软件,中国
09/2004–12/2006  量化分析师,衡泰软件,中国

教育背景
09/2009–03/2013  金融博士,英国诺丁汉大学
08/2007–09/2008  金融学硕士,瑞士苏黎世联邦理工大学
10/2002–08/2004  经济学硕士,德国康斯坦兹大学
09/1998–07/2002  经济学学士,同济大学

发表文章
Guo, B., Han, Q., Lin, H., 2017, Are There Gains from Using Information over the Surface of Implied Volatilities? Journal of Futures Markets (SSCI)
Xun, J.Y., Guo, B., 2017, Twitter as customer’s eWOM: an empirical study on their impact on firm financial performance. Internet Research (SSCI)
"Why doesn't the choice of performance measure matter?", with Yugu Xiao. Finance Research Letters, 2016, Forthcoming (SSCI)
"CDS inferred stock volatility", Journal of Futures Markets, 2016, Forthcoming (SSCI)
"How important is a non-default factor for CDS valuation? A non-parametric analysis", With Qian Han, Jaeram Lee, Doojin Ryu. Journal of Futures Markets, 2015, 35(11), 1088–1101 (SSCI)
"Sell in May and go away: Evidence from China", with Xingguo Luo, Ziding Zhang. Finance Research Letters, 2014, 11, 362-368 (SSCI)
“The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components”, with Qian Han and Bin Zhao, Journal of Futures Markets, 2014, 34(8), 788-806 (SSCI)
“Regime Dependent Liquidity Determinants of Credit Default Swap Spread Changes”with David Newton,Journal of Financial Research,2013,36(2), 279-298
“Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction”with Qian Han, Doojin Ryu,Journal of Futures Markets, 2013, 33(7), 629-652 (SSCI)
“A Tale of Two Index Futures: The Intraday Price Discovery Process between the China Financial Futures Exchange and Singapore Exchange”with Qian Han, Maonan Liu, Doojin Ryu,Emerging Markets Finance and Trade, 2013, 49(4), 207-222 (SSCI)
“Asymmetric and Negative Return-Volatility Relationship: the Case of the VKOSPI”with Qian Han,Doojin Ryu, Robert I. Webb, Investment Analysts Journal, 2012, 76, 69-78 (SSCI)
“Pricing Convertible Bonds with Embedded Parisian Options: Theory and Evidence”with Fangyi Jin,Review of Futures Markets, 2011, 29(1), 59-82

其它
语言: 中文(母语),英语(流利)
编程:Matlab, R, Python, C++, VBA
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