Sep
1
I am not a fan of Quantitative Macroeconomics, which uses standard neoclassical theory to explain business cycle fluctuations and tries to answer the following questions, to name a few,
What are the empirical characteristics of business cycles?
What brings business cycles about?
What propagates them?
Who is most affected and how large would be the welfare gains of eliminating them?
What can economic policy, both fiscal and monetary policy do in order to soften or eliminate business cycles?
Should the government try to do so?
......
Sounds boring
? I found this site when I searched "Kalman filter", click the following link for codes in Quant economics of different programming languages.
http://ideas.repec.org/s/dge/qmrbcd.html
What are the empirical characteristics of business cycles?
What brings business cycles about?
What propagates them?
Who is most affected and how large would be the welfare gains of eliminating them?
What can economic policy, both fiscal and monetary policy do in order to soften or eliminate business cycles?
Should the government try to do so?
......
Sounds boring
http://ideas.repec.org/s/dge/qmrbcd.html
Aug
31
Libor Market Model is a term structure model applied to value and hedge exotic interest rate derivatives. The model is recognized and employed largely because of its consistency with the popular market model, Black's formula. This consistency makes the calibration process easy as the Black's market prices for vanilla interest rate Options can be instantly used as an input.
The purpose of this book -Libor Market Model: Theory and Implementation is to analyze the Libor Market Model in theory and implement it practically to the evaluation of normal caps, barriers, European swaptions and ratchets, etc. The dynamic of the Libor Market Model will be derived and the whole steps of its implementation applying Monte Carlo simulation will be introduced. Implementation is accomplished via several volatility and correlation formulation. Special attention should be given when it comes to calibrate the Libor Market Model and model the forward rate volatilities and correlations since they could impact prices of interest rate derivatives substantially.
The purpose of this book -Libor Market Model: Theory and Implementation is to analyze the Libor Market Model in theory and implement it practically to the evaluation of normal caps, barriers, European swaptions and ratchets, etc. The dynamic of the Libor Market Model will be derived and the whole steps of its implementation applying Monte Carlo simulation will be introduced. Implementation is accomplished via several volatility and correlation formulation. Special attention should be given when it comes to calibrate the Libor Market Model and model the forward rate volatilities and correlations since they could impact prices of interest rate derivatives substantially.
Aug
30
Options to exchange one asset for another arise in various contexts. An option to buy yen with Australian dollars is, from the point of view of a US investor, an option to exchange one foreign currency asset for another foreign currency asset. A stock lender offer is an option to exchange shares in one stock for shares in another stock.
Consider a European option to give up an asset worth ST at time T and receive in return an asset worth VT, the payoff from the option is
max(VT-ST,0)
A formula for valuing this option was first produced by Margrabe at his paper “The value of an option to exchange one asset for another”, Journal of Finance, a sample Matlab file can be downloaded here
Consider a European option to give up an asset worth ST at time T and receive in return an asset worth VT, the payoff from the option is
max(VT-ST,0)
A formula for valuing this option was first produced by Margrabe at his paper “The value of an option to exchange one asset for another”, Journal of Finance, a sample Matlab file can be downloaded here
Aug
29
Quotation
Similar to the spectral path construction method, the Brownian bridge is a way to construct a discretised Wiener process path by using the first Gaussian variates in a vector draw z to shape the overall features of the path, and then add more and more of the fine structure. The very first variate z1 is used to determine the realisation of theWiener path at the final time tn of our n-point discretisation of the path by setting Wtn = sqrt(tn)z1. The next variate is then used to determine the value of the Wiener process as it was realised at an intermediate timestep tj conditional on the realisation at tn (and at t0 = 0 which is, of course, zero). The procedure is then repeated to gradually fill in all of the realisations of the Wiener process at all intermediate points, in an ever refining algorithm.
here is a simulation of Brownian paths, brownian-bridge type simulation.
Aug
28
A swaption is an over-the-counter derivative on a swap. Normally, the underlying swap is a vanilla interest rate swap. Nevertheless, "swaption" could be applied to relate to a derivative about whatever kind of swap.
Swaptions could be European, American, or even Bermudan type. They can be physically settled, in which case a derivative is really participated into at exercise date. They can be cash settled as well, in which example the market price of the underlying swap is cleared at maturity.
it is frequently more handy to address in terms of two common kinds of swaption:
A payer swaption is a call option on a pay-fixed swap, the swaption holder has the right to pay fixed rate on a swap.
A receiver swaption is a call option on a receive fixed swap, the swaption holder has the right to receive fixed rate on a swap.
Swaptions could be European, American, or even Bermudan type. They can be physically settled, in which case a derivative is really participated into at exercise date. They can be cash settled as well, in which example the market price of the underlying swap is cleared at maturity.
it is frequently more handy to address in terms of two common kinds of swaption:
A payer swaption is a call option on a pay-fixed swap, the swaption holder has the right to pay fixed rate on a swap.
A receiver swaption is a call option on a receive fixed swap, the swaption holder has the right to receive fixed rate on a swap.
Quantitative Finance Collector is simply a record of my financial engineering learning journey as a master in quantitative finance, a PhD candidate in finance and a Quantitative researcher, with most of the entries written at school. 
