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Oct 28

Week In Review

Posted by abiao at 09:37 | Review | Comments(0) | Reads(4087)
Resume the week in review section, please feel free to drop me a line to abiao@mathfinance.cn 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.

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