Remember me

Register  |   Lost password?


 

Quantitative Finance Code Collector's Blog

Week in Review 021211 R Language

December 2, 2011 Comments (0)

Happy last month of 2011. I will fly to Sydney to present a paper at the 24th Australasian Finance & Banking Conference on next Thursday, so we may not have a review next week. However, feel free to contact me @a_biao for sharing any useful post. This week's review is highly concentrated on R language.R-code for the algorithm of Ait-Sahalia: the Closed-Form expansion for the transition densities of diffusions by Professor Yacine Aït-Sahalia facilitates the Maximum Likelihood Estimation, the...

Week In Review 251111 Style Analysis

November 25, 2011 Comments (0)

This week is very quiet (despite the poor performance in Eurozone), since people are busy preparing Thanksgiving & Black Friday. As always, I appreciate if you come across some interesting articles and like to share with us. Simply @a_biao via twitter or drop me a line at abiao@mathfinance.cn.Style analysis: Detailed examples and R codes to "guess" the asset allocation of a fund by style analysis: a procedure attributing funds performance to the performance of asset classes;Asynchrony in market...

Happy Thanksgiving 2011

November 24, 2011 Comments (0)

Time flies really quickly, I didn't realize today is the thanksgiving day until reading a post of my subscribed blog. Following last year's thanksgiving, I'd like to give my special thanks to:1, my supervisor Prof. David Newton for supporting my research and co-authoring a submitted paper.2, my colleagues & co-authors: Fangyi Jin, Qian Han, Doojin Ryu, and Songtao Wang for your consistent help and encouragement.3, my blog readers for not giving up reading my posts. I have to admit that the...

Week In Review 182011

November 18, 2011 Comments (0)

Resampling and Shrinkage : Solutions to Instability of mean-variance efficient portfolios: we know mean-variance portfolio highly depends on the input of expected return and covariance matrix, a post demonstrates with full R codes two common techniques to make portfolios in the mean-variance efficient frontier more diversified and immune to small changes in the input assumptions. Improving Portfolio Selection Using Option-Implied Volatility and Skewness: is option-implied information useful for...

Week In Review 112011

November 11, 2011 Comments (0)

The First Rule About CDS: Don’t Talk About CDS: is 50% haircut a default event? maybe YES for a corporate CDS, but NOT for a Sovereign one. Reading the Contract is the first rule about CDS.Invest Excel: a collection of Excel spreadsheets about investment, such as asset allocation, implied volatility, option pricing. Check it out.Using Text Mining to Find Out What @RDataMining Tweets are About: another example of how to use TwitterR package in real application.Three free books on R for...

Week In Review 042011

November 4, 2011 Comments (0)

Volatility Term Structure and the Cross-Section of Option Returns: The slope of the volatility term structure strongly predicts the cross section of future option returns. Option portfolios with high slopes of the volatility term structure outperform option portfolios with low slopes of the volatility term structure by an economically and statistically significant amount.Liquidity-Adjusted Portfolio Distribution and Liquidity Score: How to analyse the risk of a highly non-normal, multi-asset...

Week In Review

October 28, 2011 Comments (0)

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...

Fast Least Squares Monte Carlo Simulation for American Option

October 9, 2011 Comments (0)

We know least-squares Monte Carlo simulation to price an American option is time consuming because it involves optimal exercise decision on every step of a large number of simulation (in the least square case, to run a polynomial regression on cash flows and decide whether it is optimal to exercise or not). I once shared a simple Matlab file to illustrate the least squares Monte Carlo simulation. The situation becomes worse if we allow the presence of stochastic volatility and interest rate,...

24th Australasian Finance Banking Conference

September 30, 2011 Comments (0)

Does anyone attending the 24th Australasian Finance & Banking Conference (AFBC) happen to read this post? if yes and you are interested in having a beer, please contact me via abiao@mathfinance.cn. I am going to present a paper co-authored by my supervisor - Prof. David Newton. The conference will be on Wednesday 14 December - Friday 16 December, 2011 and an accompanying PhD Forum will be on Tuesday 13 December, 2011, in Sydney, Australia. QuotationThe Australasian Finance and Banking...

Financial Engineering Ranking

September 23, 2011 Comments (0)

Andy from QuantNet kindly reminded me that the 2011 Financial Engineering Ranking has come out, as stated on the webpage,QuotationThe 2011 Quantnet ranking is the most comprehensive ranking to date of master programs in Financial Engineering (MFE), Mathematical Finance in North America. Quantnet surveyed program administrators, hiring managers to get the information used in the 2011 ranking.For those of you interested in studying for a master in Financial Engineering, take a  look at...