Nov
11
The First Rule About CDS: Don’t Talk About CDS: is 50% haircut a default event? maybe YES for a corporate CDS, but NOT for a Sovereign one. Reading the Contract is the first rule about CDS.
Invest Excel: a collection of Excel spreadsheets about investment, such as asset allocation, implied volatility, option pricing. Check it out.
Using Text Mining to Find Out What @RDataMining Tweets are About: another example of how to use TwitterR package in real application.
Three free books on R for Statistics: three directly downloadable ebooks on R for: multivariate analysis, time series analysis and biomedical statistics.
Pitfalls in Asset and Liability Management: One Factor Term Structure Models: Dr. Donald R. van Deventer from Kamakura Corporation shows you the pitfalls of one-factor term structure model, implication of the results and possible direction to remedy.
Stressing Correlations and Volatilities - A Consistent Modeling Approach: a new approach of stress scenarios for volatilities and correlations.
What We Need to Know About Cross-Validation: A very interesting & easy-to-understand article about cross-validation, why we need it, its relation with other measures.
Invest Excel: a collection of Excel spreadsheets about investment, such as asset allocation, implied volatility, option pricing. Check it out.
Using Text Mining to Find Out What @RDataMining Tweets are About: another example of how to use TwitterR package in real application.
Three free books on R for Statistics: three directly downloadable ebooks on R for: multivariate analysis, time series analysis and biomedical statistics.
Pitfalls in Asset and Liability Management: One Factor Term Structure Models: Dr. Donald R. van Deventer from Kamakura Corporation shows you the pitfalls of one-factor term structure model, implication of the results and possible direction to remedy.
Stressing Correlations and Volatilities - A Consistent Modeling Approach: a new approach of stress scenarios for volatilities and correlations.
What We Need to Know About Cross-Validation: A very interesting & easy-to-understand article about cross-validation, why we need it, its relation with other measures.
Nov
4
Volatility Term Structure and the Cross-Section of Option Returns: The slope of the volatility term structure strongly predicts the cross section of future option returns. Option portfolios with high slopes of the volatility term structure outperform option portfolios with low slopes of the volatility term structure by an economically and statistically significant amount.
Liquidity-Adjusted Portfolio Distribution and Liquidity Score: How to analyse the risk of a highly non-normal, multi-asset class portfolio taking into consideration of the liquidity risk? Attilio Meucci shows you how with Matlab code.
Minimizing Downside Risk: R codes for minimizing the downside risk of a portfolio.
Models.Behaving.Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life
: Another wonderful book by Emanuel Derman guides you through his thoughts on why those models created by Wall Street failed, the difference between model and theory, etc. A MUST read one.
Maximizing Omega Ratio: Another post for maximizing Omega Ratio demonstrated by full R codes.
Euro bailout - an animated explanation:
Liquidity-Adjusted Portfolio Distribution and Liquidity Score: How to analyse the risk of a highly non-normal, multi-asset class portfolio taking into consideration of the liquidity risk? Attilio Meucci shows you how with Matlab code.
Minimizing Downside Risk: R codes for minimizing the downside risk of a portfolio.
Models.Behaving.Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life
: Another wonderful book by Emanuel Derman guides you through his thoughts on why those models created by Wall Street failed, the difference between model and theory, etc. A MUST read one.Maximizing Omega Ratio: Another post for maximizing Omega Ratio demonstrated by full R codes.
Euro bailout - an animated explanation:
Oct
28
Resume the week in review section, please feel free to drop me a line to [email protected] or leave a comment if you come across a good paper or post to share, thanks.
Canonical distribution, implied binomial tree, and the pricing of American options: A new approach to pricing American options is proposed and termed the canonical implied binomial (CIB) tree method. Applied to a set of over 15,000 American-style S&P 100 Index puts, CIB outperformed BS with historic volatility in pricing out-of-the-money options; in addition, it outperformed the canonical least-squares Monte Carlo (Liu, 2010) in the dynamic hedging of in-the-money options.
MATLAB mex functions using the NAG C Library in Windows: Mike demonstrates in real example how to speed up Matlab function with NAG Toolbox for Matlab.
One week left to enter the $20,000 "Applications of R" contest: Hurry up if you like to win the $20,000 prize from Revolution Analytics, show your R skill!
Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR) risk measures: example with detailed programming codes how to implement these two measures for a portfolio.
Is There a Bubble in LinkedIn’s Stock Price?: Robert Jarrow, Younes Kchia, and Philip Protter show you how to determine in real time if a given stock is exhibiting a price bubble or not, a new approach.
Canonical distribution, implied binomial tree, and the pricing of American options: A new approach to pricing American options is proposed and termed the canonical implied binomial (CIB) tree method. Applied to a set of over 15,000 American-style S&P 100 Index puts, CIB outperformed BS with historic volatility in pricing out-of-the-money options; in addition, it outperformed the canonical least-squares Monte Carlo (Liu, 2010) in the dynamic hedging of in-the-money options.
MATLAB mex functions using the NAG C Library in Windows: Mike demonstrates in real example how to speed up Matlab function with NAG Toolbox for Matlab.
One week left to enter the $20,000 "Applications of R" contest: Hurry up if you like to win the $20,000 prize from Revolution Analytics, show your R skill!
Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR) risk measures: example with detailed programming codes how to implement these two measures for a portfolio.
Is There a Bubble in LinkedIn’s Stock Price?: Robert Jarrow, Younes Kchia, and Philip Protter show you how to determine in real time if a given stock is exhibiting a price bubble or not, a new approach.
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
Sep
30
Does anyone attending the 24th Australasian Finance & Banking Conference (AFBC) happen to read this post? if yes and you are interested in having a beer, please contact me via [email protected] I am going to present a paper co-authored by my supervisor - Prof. David Newton. The conference will be on Wednesday 14 December - Friday 16 December, 2011 and an accompanying PhD Forum will be on Tuesday 13 December, 2011, in Sydney, Australia.
http://www.asb.unsw.edu.au/schools/bankingandfinance/newsandevents/afbc/Pages/24thaustralasianfinanceandbankingconference.aspx
Quotation
The Australasian Finance and Banking Conference, organised by the Institute of Global Finance and School of Banking & Finance at the Australian School of Business at UNSW, will converge in Sydney in December 2011. This conference provides international academics and industry with the opportunity to meet and share their research and interest in finance related fields. The conference would like to invite all academics and practitioners to participate. The conference is the most prestigious finance conference in the Asia-Pacific region, and brings together the world's foremost leaders of thought from the financial community.
http://www.asb.unsw.edu.au/schools/bankingandfinance/newsandevents/afbc/Pages/24thaustralasianfinanceandbankingconference.aspx
