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May 2

Risk Management Week in Review 020512

Posted by abiao at 09:36 | Review | Comments(0) | Reads(6137)
A Review of Volatility and Option Pricing: a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility.

Read Big Text Files Column by Column: use a new R package "colbycol" to read big data column by column in R to partly overcome memory issue.

Forecasting Yield Curves with Survey Information:  could this information-rich supplementary data be used to improve the interest rate forecasting models for out-of-sample forecasts? slides here.

100+ Years of Financial Risk Measurement and Management: I selectively survey several key strands of literature on financial risk measurement and management. I begin by showing why the need for financial risk measurement and management exists, and then I turn to relevant aspects of return distributions and volatility fluctuations, with implicit emphasis on market risk for equities.

Ceres Solver - A Nonlinear Least Squares Minimizer: Ceres Solver is a portable C++ library that allows for modeling and solving large complex nonlinear least squares problems.

Infographic: Is the Black Scholes Model Responsible for the Credit Crunch: a simple defense of the Black Scholes model for credit crunch.

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