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Quantitative Finance Code Collector's Blog

Adding and Subtracting Black-Scholes:A New Approach to Approximating Derivative Prices in Continuous-Time Models

July 7, 2011 Comments (0)

To be honest, I haven't read this paper yet as my research interest has moved gradually from no-arbitrage to arbitrage valuation, however, this paper Adding and Subtracting Black-Scholes:A New Approach to Approximating Derivative Prices in Continuous-Time Models is very interesting from its abstract and may be appealing to some of you.Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous-Time Models is written by Dennis Kristensen, Antonio Mele,...

Credit Informed Tactical Asset Allocation

July 7, 2011 Comments (0)

Tactical asset allocation (TAA) is a dynamic investment strategy that actively adjusts a portfolio’s asset allocation in order to improve the risk-adjusted returns of passive management investing. We know the performance of debt assets and equity are correlated somehow, this debt-equity relationship can be exploited profitably at the level of both individual companies and the market as a whole, for instance, if a company’s credit is going to outperform its equity, then a trade can be...

Credit Default Spread and Historical Volatility

July 7, 2011 Comments (0)

Credit Default Spread (CDS) reflects the default risk of a company, Zhong, Cao et al. (2010) argue CDS is similar to out-of-the-money put options in that both offer a low cost and effective protection against downside risk. They then investigates that put option-implied volatility is an important determinant of CDS spreads. Since I can't get access to OptionMetrics database, I plot a graph showing the relation between average daily 5-year CDS downloaded from CMA, Datastream and simple average...

Financial Risk Forecasting

July 7, 2011 Comments (0)

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk.  Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques.Contents include:Financial markets, prices and riskUnivariate volatility modelingMultivariate...

A Comparative Study of Range-based Stock Return Volatility Estimators for the German Market

July 7, 2011 Comments (0)

Needless to say, volatility estimation is crucial for finance application, chasing for a more accurate volatility estimate method seems endless and is always at the center of finance research. In the paper A Comparative Study of Range-based Stock Return Volatility Estimators for the German Market by Neda Todorova, Sven Husmann, the authors investigate the relative performance of various volatility estimators based on daily and intraday price ranges of 25 German equities, using the two scales...

How I Became a Quant: Insights from 25 of Wall Streets Elite

July 7, 2011 Comments (0)

The following article is a book review for “How I Became a Quant: Insights from 25 of Wall Street's Elite”, which was edited by Richard R. Lindsey and Barry Schachter, and is a paperback.The book is a compilation of 25 essays written by very distinguished individuals that have had successful careers in the quantitative finance industry. They work in various areas including; market microstructure, derivatives pricing, risk management, and equity portfolio management.For the most part, you will...

Dont Join Marketclub until You Read This Ino MarketClub Review

July 7, 2011 Comments (0)

This is my second guest post review for MathFinance.cn. My first post Free Mini Email Trading Course was a big success, we've got many feedbacks from our readers, this definitely helps us to improve our service to all of you.Researching and planning trades can take hours, and let's face it, traders don't have hours to waste. What you need is a tool to give you an edge on the markets and to help you make educated decisions based on the technicals and not your emotion.Ino MarketClub puts all of...

A Practical Guide To Quantitative Finance Interviews

July 7, 2011 Comments (0)

This short article is a book review for “A Practical Guide To Quantitative Finance Interviews”, which is a paperback, and was written by Xinfeng Zhou.So, you will be soon graduating, and looking for your first position in quantitative finance. At this time, you are a little nervous since you have never interviewed for such good paying jobs previously, and you are wondering if your interviewing skills are up to par?First, all new graduates feel exactly the same way as you do presently,...

Constructing 130/30 Portfolios with the Omega Ratio

July 7, 2011 Comments (0)

Constructing 130/30-Portfolios with the Omega ratio is an interesting paper forthcoming in Journal of Asset Management by Gilli, Manfred, Schumann, Enrico, Di Tollo, Giacomo and Cabej, Gerda. Typical portfolio construction theory uses Markowitz efficient frontier under mean-variance framework to find an optimized portfolio, the authors in this paper construct portfolios with an alternative selection criterion, the Omega function.Any portfolio return r can be decomposed intodefine the downside...

Using R in Excel

July 7, 2011 Comments (0)

Got to know a very cool tool to use R in Excel named RExcel, basically it provides an integration solution such that users can get data, run command in Excel the same way as in R, which is presumably good and convenient to present results to your colleagues.Check yourself a demo video at http://rcom.univie.ac.at/RExcelDemo/The package can be downloaded free at http://rcom.univie.ac.at/download.html  Tags - r , excel ... reading the full post... You may also interested into other...