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# What Is Average Salary For A Financial Engineer? http://tinyurl.com/dl5e8q3:44 PM May 2nd from TwitterFox
    
# Stress test analysis http://tinyurl.com/dd5lob11:37 PM May 1st from twitterfeed
    
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# Exotic Options Calculator http://tinyurl.com/csw7g85:48 AM May 1st from twitterfeed
    
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# Volatility Forecasting and Trading http://tinyurl.com/cgffv24:47 AM Apr 28th from twitterfeed
    
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# got lost, finally am here. waiting outside of classroom.7:13 AM Apr 25th from TwitterRide
    
# on the train to univ of greenwitch for visa english test, have to leave uk if fails. bless myself.

In recent months and years both practitioners and regulators have embraced the idea of supplementing VaR estimates with stress-testing. Today The Federal Reserve is postponing the release of stress tests on the biggest U.S. banks. Risk managers are beginning to place an emphasis and expend resources on developing more and better stress test analysis.

Here is a good introductory paper aiming to give you a rough idea how to do stress test, to help demystify stress tests, and illustrate their strengths and weaknesses. The author use an Excel-based exercise with institution-by-institution data through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk in the design of stress testing scenarios. The purpose of the workbook is to illustrate basic stress tests (and related tools) that can be used to assess risks in a small and relatively non-complex banking system, using a realistic (but fictional) example.

Paper is available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=973989&rec=1&srcabs=181931.

MG Soft Exotic Options Calculator is a freeware software to calculate the option value and greeks of vanilla and exotic options, mainly using Monte Carlo simulation.



The software supports the following types of options at the moment.

Vanilla Options (using standard Black-Scholes formulae).
Binary (Cash-or-nothing) Options (using standard analytical formulae).
Asian Options (using Monte Carlo simulation).
Barrier Options (using Monte Carlo simulation).
Lookback Options (using Monte Carlo simulation).
...

Finite difference method has been repeatedly introduced to solve partial differential equation (PDE), for example, in past entries Crank-Nicholson finite difference solution of American option, Crank-Nicolson for a European put, PSOR for American option, etc.

here is a Finite Difference Method for EXCEL addin which contains macro to solve numerically partial differential equations (PDE) and ordinary differential equations (ODE) with the Finite Differences Method (FD). Seems it can only be applied for two dimensional problem, but should be enough for normal cases me meet.

Document and macro are at: http://digilander.libero.it/foxes/diffequ/fdsolver_review.htm

Parisian option might sound unfamiliar to you, it is basically a barrier option but becomes activated only after stock prices have spent a certain continuous, pre-decided time, called a window, above or below the barrier. One of possible motivations for the existence of the Parisian option, as stated in Haber, Schoenbucher, and Wilmott (1999) is: "...there is a need to make the option more robust against short-term movements of the share price..., in particular, it is far harder to effect the triggering of the barrier by manipulation of the underlying..."

Taking an up barrier Parisian option as an example, the barrier time tau is defined as the length of time the stock prices have been above the barrier in the current excursion
tau := t − sup {s <= t|S(s)<= L}
with up barrier L, tau measures the difference between the current time t and the last time the stock price S below L, the call feature is activated only if tau>= D, with D being barrier window.

Interested reader shall download a Parisian option pricer at http://paul.wilmott.com/software.cfm, where the authors price Parisian options by a finite-difference solution of a three-dimensional partial differential equation.