Quantitative Finance Collector is a blog on Quantitative finance codes, methods in math finance focusing on derivative pricing, quantitative trading and quantitative risk management.
Aug
31
This guest post is brought to you by Options University.
Dear MathFinance.cn readers,
Options University is giving away $797 worth of Options Education For F.R.E.E. to the next 200 traders.
And trust me. This is not a trick, or a gimmick.
If you are wondering why we are doing this, well, with the economy being in the toilet, Options University wants to show that we're here to help you weather the storm.
So the next 200 students that follow the link below will be armed with some of the most powerful, portfolio-boosting investment education on the planet.
Follow the link below to get your hands on Options 101 and the Advanced Options Home Study Courses (the convenient online editions):
==> Get Your Free Option Trading Course
The only potentially bad news is that the amount of editions released for f.r.e.e. has to be limited to only 200, as these particular home study courses continue to be their best selling education products. But for those of you who are fast enough, please enjoy two of the best selling options education courses for f.r.e.e.
John J. Halpin
Dear MathFinance.cn readers,
Options University is giving away $797 worth of Options Education For F.R.E.E. to the next 200 traders.
And trust me. This is not a trick, or a gimmick.
If you are wondering why we are doing this, well, with the economy being in the toilet, Options University wants to show that we're here to help you weather the storm.
So the next 200 students that follow the link below will be armed with some of the most powerful, portfolio-boosting investment education on the planet.
Follow the link below to get your hands on Options 101 and the Advanced Options Home Study Courses (the convenient online editions):
==> Get Your Free Option Trading Course
The only potentially bad news is that the amount of editions released for f.r.e.e. has to be limited to only 200, as these particular home study courses continue to be their best selling education products. But for those of you who are fast enough, please enjoy two of the best selling options education courses for f.r.e.e.
John J. Halpin
Aug
27
VBA week...
Option Pricing Models and Volatility Using Excel-VBA is the best book I have read this year, recommended by a friend of mine couple of days ago. I didn't look positive at it at the beginning as there are dozes of books on similar topics and to be honest, I never heard of the author (now I know he works in industry). However, the more pages I dig, the less willing to stop & happier I feel as the author explains the volatility staff relevant to option pricing SOOOOO well and in plain language. More importantly, there are accompanying VBA codes for almost every example, if that's no enough, the author provides VBA solutions to the exercise as well, which encourage the readers to practice & make our hands dirty, unlike many other books do.
The book starts with complex number, how to write macro code for it; followed by selected root-finding algorithms, and weighted least square regression; then introduces numerical integration, tree-building, black scholes, Heston model, GARCH, implied volatility, parameter estimation, etc. Preview is worth a thousand words, check yourself below:
Option Pricing Models and Volatility Using Excel-VBA is the best book I have read this year, recommended by a friend of mine couple of days ago. I didn't look positive at it at the beginning as there are dozes of books on similar topics and to be honest, I never heard of the author (now I know he works in industry). However, the more pages I dig, the less willing to stop & happier I feel as the author explains the volatility staff relevant to option pricing SOOOOO well and in plain language. More importantly, there are accompanying VBA codes for almost every example, if that's no enough, the author provides VBA solutions to the exercise as well, which encourage the readers to practice & make our hands dirty, unlike many other books do.The book starts with complex number, how to write macro code for it; followed by selected root-finding algorithms, and weighted least square regression; then introduces numerical integration, tree-building, black scholes, Heston model, GARCH, implied volatility, parameter estimation, etc. Preview is worth a thousand words, check yourself below:
Aug
16
In my previous post Binary Option Trading I introduced a simple online trading platform Eztrader, where investors are allowed to trade hourly, dayly, and weekly call/put binary options on different stocks, currencies, indices, etc.
I have more words to say after posting that article almost half a year, and generating around 60% return, although still a small sum of money. A few personal advice:
1, binary option trading is riskier than equity trading. It is nearly a 0 or 1 game, you can double and empty your investment quickly than you thought. For example, a daily call option has a payout ratio of 81%, which means for a $100 trading, you earn $81 if you "bet" correctly the direction, and lose $95 if you are wrong. So don't trade unless you realize a clear pattern, I feel much better to wait for the next opportunity than to trade my luck;
2, since the hourly & daily options are too short to be analyzed and backtested, unless you can get access to high-frequency data, those momentum & trend following strategies are not useful for the binary option trading. Those strategies listed at High Probability ETF Trading Strategies on Stock and Quantitative trading strategies haven't found a place for me;
I have more words to say after posting that article almost half a year, and generating around 60% return, although still a small sum of money. A few personal advice:
1, binary option trading is riskier than equity trading. It is nearly a 0 or 1 game, you can double and empty your investment quickly than you thought. For example, a daily call option has a payout ratio of 81%, which means for a $100 trading, you earn $81 if you "bet" correctly the direction, and lose $95 if you are wrong. So don't trade unless you realize a clear pattern, I feel much better to wait for the next opportunity than to trade my luck;
2, since the hourly & daily options are too short to be analyzed and backtested, unless you can get access to high-frequency data, those momentum & trend following strategies are not useful for the binary option trading. Those strategies listed at High Probability ETF Trading Strategies on Stock and Quantitative trading strategies haven't found a place for me;
Jun
8
A guest post from our Elliott.
Dear reader,
We have a very special offer for traders today. Our friends at Elliott Wave International have just released their $79-value, 42-page ebook for options traders for free download.
The new ebook, How to Use the Elliott Wave Principle to Improve Your Options Trading Strategies -- Vertical Spreads, which sells in EWI's online store for $79, is available for free, exclusively to you, for a limited time.
The ebook is designed to help you exploit sharp price movement with powerful vertical spread trading strategies, including: Bull Call Spread, Bear Put Spread, Bear Call Ladder, Bull Put Ladder and more. This valuable ebook belongs in any serious trader's library. You can download it now for free here.
Dear reader,
We have a very special offer for traders today. Our friends at Elliott Wave International have just released their $79-value, 42-page ebook for options traders for free download.
The new ebook, How to Use the Elliott Wave Principle to Improve Your Options Trading Strategies -- Vertical Spreads, which sells in EWI's online store for $79, is available for free, exclusively to you, for a limited time.The ebook is designed to help you exploit sharp price movement with powerful vertical spread trading strategies, including: Bull Call Spread, Bear Put Spread, Bear Call Ladder, Bull Put Ladder and more. This valuable ebook belongs in any serious trader's library. You can download it now for free here.
Apr
28
This post is writen by Jovan, one of our contributors currently studying MFE, thanks, Jovan.
A couple of weeks ago one of my friends had an interview at a local hedge fund and he had to prepare Greeks of exotics, so we decided to plot them. In Uwe Wystup’s book, Options in FX markets there is a nice and very clear analytical solution, and mathematica 7 is good in symbolic so the code just takes the derivatives and plots them. Also to check the solution of down and out call we plotted the down and in call and their payoff combines into a regular call so that there wasn’t a mistake. If you do not have mathematica there is a mathematica free file viewer form Wolfram.
Together with the codes there is a mini manipulate idea where you can see the interaction of the Greeks with other input parameters such as a Barrier where you see that the delta explodes when you are close to expiry and to the barriers. Uwe Wystup suggests that then one should do a barrier shift to prevent this so that one should rehedge your portfolio based on that shifted barrier. If you are interested to see this please download the attached Mathematica files and check it out.
Download
A couple of weeks ago one of my friends had an interview at a local hedge fund and he had to prepare Greeks of exotics, so we decided to plot them. In Uwe Wystup’s book, Options in FX markets there is a nice and very clear analytical solution, and mathematica 7 is good in symbolic so the code just takes the derivatives and plots them. Also to check the solution of down and out call we plotted the down and in call and their payoff combines into a regular call so that there wasn’t a mistake. If you do not have mathematica there is a mathematica free file viewer form Wolfram.
Together with the codes there is a mini manipulate idea where you can see the interaction of the Greeks with other input parameters such as a Barrier where you see that the delta explodes when you are close to expiry and to the barriers. Uwe Wystup suggests that then one should do a barrier shift to prevent this so that one should rehedge your portfolio based on that shifted barrier. If you are interested to see this please download the attached Mathematica files and check it out.
Download 
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. 
