Jan
13
The Top 25 Best Performing Hedge Funds In The World: the top 25 large (more than $1 billion AUM) hedge fund performers around the world, with strategy from macro, long/short to multi.
2011 IAFE/SunGard Financial Engineer of the Year: Robert Engle Selected as the Recipient of the 2011 IAFE/SunGard Financial Engineer of the Year Award.
A "Ratings Neutral" Investment Policy: lessors learned from the current financial crisis.
Research Seminar: Optimization: learn optimization online, free ebooks downloadable.
How to Identify and Predict Bull and Bear Markets?: We compare methods based on rules with methods based on econometric models, in particular Markov regime-switching models.
2011 IAFE/SunGard Financial Engineer of the Year: Robert Engle Selected as the Recipient of the 2011 IAFE/SunGard Financial Engineer of the Year Award.
A "Ratings Neutral" Investment Policy: lessors learned from the current financial crisis.
Research Seminar: Optimization: learn optimization online, free ebooks downloadable.
How to Identify and Predict Bull and Bear Markets?: We compare methods based on rules with methods based on econometric models, in particular Markov regime-switching models.
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.
Jan
6
This week-in-review list is longer than usual since it actually covers over two weeks readings. Back to work from holiday, cheers up.
Quantpedia: The Encyclopedia of Trading Systems - turn academic research into financial profit.
PortfolioProbe: Blog year 2011 in review.
Portfolio optimization using forward-looking information: A minimum-variance strategy based on price information from a cross-section of plain-vanilla options consistently outperforms a wide range of benchmark strategies.
The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes: two simple methods to produce a feasible (i.e. real, symmetric, and positivesemidefinite) correlation matrix when the econometric one is either noisy, unavailable, or inappropriate.
Forecasting with Option Implied Information: surveys the methods available for extracting forward-looking information from option prices.
Machine Learning: enroll an online class of machine learning for free.
Collusion and CDS Dealer Volume: roughly 76-82% of all single name credit default swaps are trades between Bill Smith at Goldman Sachs and John Smith at JPMorgan or other dealer firms, should an investor take these traded prices as meaningful information?
The top 7 portfolio optimization problems: an excellent list of top 7 optimization problems we often meet and possible way to solve them.
A youtube video showing how to calculate Value at Risk of put options:
Quantpedia: The Encyclopedia of Trading Systems - turn academic research into financial profit.
PortfolioProbe: Blog year 2011 in review.
Portfolio optimization using forward-looking information: A minimum-variance strategy based on price information from a cross-section of plain-vanilla options consistently outperforms a wide range of benchmark strategies.
The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes: two simple methods to produce a feasible (i.e. real, symmetric, and positivesemidefinite) correlation matrix when the econometric one is either noisy, unavailable, or inappropriate.
Forecasting with Option Implied Information: surveys the methods available for extracting forward-looking information from option prices.
Machine Learning: enroll an online class of machine learning for free.
Collusion and CDS Dealer Volume: roughly 76-82% of all single name credit default swaps are trades between Bill Smith at Goldman Sachs and John Smith at JPMorgan or other dealer firms, should an investor take these traded prices as meaningful information?
The top 7 portfolio optimization problems: an excellent list of top 7 optimization problems we often meet and possible way to solve them.
A youtube video showing how to calculate Value at Risk of put options:
Jan
4
What does a successful trader do that an unsuccessful trader can't seem to master? They quickly find and get in and out of the winning trades with expert precision. What does this better than anyone else? Smart money of course!
Big banks and financial institutions have the capital and agility to persuade large and medium cap stocks to move in a preferred direction. It may sound like they have the upper hand, but individual traders can join them in a move and profit from the ride.
Finding where the smart money is can be similar to a shell game, so how can you find where the smart money is going to strike next? The answer is simple: You find the top trending stocks! Strong trending stocks have major volume, a clear direction, and lots of liquidity - A.K.A where the smart money is. Wouldn't it be nice to find a list of current strong trending stocks?
Now you can...for FREE! Simply click here.
MarketClub has been in the business of trend following for decades, and they are happy to announce that you can take a look at Today's Top 50 Trending Stocks now...for free! This dynamic report will compile a daily list of market movers that can make a difference in your portfolio for 2012.
It costs you nothing, and it could be the game changer you have been looking for.
It's time you started trading like the smart money, get started today for free!
Enjoy,
Adam Hewison
Big banks and financial institutions have the capital and agility to persuade large and medium cap stocks to move in a preferred direction. It may sound like they have the upper hand, but individual traders can join them in a move and profit from the ride.
Finding where the smart money is can be similar to a shell game, so how can you find where the smart money is going to strike next? The answer is simple: You find the top trending stocks! Strong trending stocks have major volume, a clear direction, and lots of liquidity - A.K.A where the smart money is. Wouldn't it be nice to find a list of current strong trending stocks?
Now you can...for FREE! Simply click here.
MarketClub has been in the business of trend following for decades, and they are happy to announce that you can take a look at Today's Top 50 Trending Stocks now...for free! This dynamic report will compile a daily list of market movers that can make a difference in your portfolio for 2012.
It costs you nothing, and it could be the game changer you have been looking for.
It's time you started trading like the smart money, get started today for free!
Enjoy,
Adam Hewison
Jan
1
As some of you may notice, I added one new feature to the site: Quant Q&A, where people can ask questions and receive answers from other members of the community. You don't have to register in order to ask or answer questions. Although there are some existing quantitative finance forums or communities, I do hope it can become to be highly relevant to quantitative finance studies (from beginner level), and most importantly, provide a place for people to interact with each other.
Besides Quant Q&A, a facebook fan page was created to allow facebook users to track and discuss the latest posts. A facebook box was also added to the right sidebar of each page on the whole blog.
Hopefully these changes facilitate us to interact and discuss more efficiently, if you feel the same way, start now by either asking a question or liking us on facebook.
Wish all of us have a fruitful new year.
Besides Quant Q&A, a facebook fan page was created to allow facebook users to track and discuss the latest posts. A facebook box was also added to the right sidebar of each page on the whole blog.
Hopefully these changes facilitate us to interact and discuss more efficiently, if you feel the same way, start now by either asking a question or liking us on facebook.
Wish all of us have a fruitful new year.
