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Quantitative Finance Code Collector's Blog

R Code For Statistics and Finance: An Introduction

September 22, 2011 Comments (0)

Statistics and Finance: An Introduction is a useful book emphasizing the applications of statistics and probability to finance, such as regression, ARMA and GARCH models, the bootstrapping, and nonparametric regression using splines. For an easier learning and application, the author also public the R codes and examples at http://www.stat.tamu.edu/~ljin/Finance/stat689-R.htm. Possible interesting sections:Fig 2.11 & R Code: Comparison on normal and heavy-tailed distributions.Fig 2.12 & R Code:...

Fitting and Testing for the Implied Volatility Curve Using Parametric Models

September 19, 2011 Comments (0)

A nice paper by Chang, C.-C., Chou, P.-H. and Liao, T.-H. (2011), Fitting and testing for the implied volatility curve using parametric models. published in Journal of Futures Markets.QuotationNumerous issues have arisen over the past few decades relating to the implied volatility smile in the options market; however, the extant literature reveals that relatively little effort has thus far been placed into comparing the various implied volatility models, essentially as a result of the lack of...

Is the Greece Default Immanent? (And What You Can Learn from it)

September 13, 2011 Comments (0)

If you have spent any time following the story playing out in Europe you know that many of the Eurozone countries are experiencing the same crisis that the United States went through in 2009. If we strip away all of the economic and political chatter, the story is simply this: Because of a whole lot of bad financial decisions, many Eurozone countries are on the brink of disaster and no country is closer to financial Armageddon than Greece.Still, although Greece is essentially bankrupt,...

NAAIM 2012 Competition For Advances in Active Investment Management - $10,000 Award

September 12, 2011 Comments (0)

Read a post from World Beta and forward here in case you are interested. The National Association of Active Investment Managers (NAAIM) sponsors the Wagner Award annually to call for papers of academic quality that cover an innovative topic in the area of active investing. $10,000 to be awarded for Best Paper, and $3,000 and $1,000 for 2nd and 3rd ranked paper. Paper Topics: The papers should cover an innovative topic in the area of active investing. This can be either a documented and...

Marketclub Special Offer

September 1, 2011 Comments (0)

Adam Hewison wrote a guest post about Marketclub reviews before, as a follow-up of that, he starts a special offer and shares here for anyone interested.Hi MathFinance.cn readers,Maybe you've seen or heard about trading veteran Adam Hewison's powerful Trade Triangle technology. But unless you are a member of MarketClub, you truly have no idea of the full benefit of these incredible indicators!Maybe you just haven't wanted to take the leap? Well, then this email is for you. For the first time...

David Heath Passed Away - Sad News

August 16, 2011 Comments (0)

Received an email just now from former professor Dr. Freddy Delbaen that David Heath passed away last week, what a great loss! For those of you who don't know who he is, David Heath is one of the authors who propose the influential Coherent risk measure.Silent Salute! Below is the email by Prof. Freddy Delbaen.QuotationDear All,Last week I received the sad news that Dave Heath passed away. Dave was one of the four "gang members" who started risk measures (around 1993). His contribution to the...

Few Interesting Papers to Read

August 12, 2011 Comments (0)

My blog was down last few days due to a technical problem of server, sorry for that. A few interesting papers I have read recently and like to share with you.Market Timing with Option-Implied Distributions: A Forward-Looking Approach http://w4.stern.nyu.edu/emplibrary/Market%20timing%20with%20Option%20implied%20distributions_Feb_2011.pdfQuotationWe address the empirical implementation of the static asset allocation problem by developing a forwardlooking approach that uses information from...

World Changing Mathematical Discoveries

July 24, 2011 Comments (0)

Although mathematics is not the most attractive field of study nowadays, there were some days when it was quite appealing. Millions of students and great illuminated minds dedicated their life to make discoveries that eventually improved quantity, structure, space and change – the main concepts studied by mathematics. It started as a philosophy, developed as a science and finally influenced everything, from technology and architecture to art. While most of us don’t realize it, the founding and...

The 8th Conference of Asia-Pacific Association of Derivatives

July 13, 2011 Comments (2)

My co-author Prof. Han and Prof. Rhu will attend the 8th Conference of Asia-Pacific Association of Derivatives while I am not going. Thanks for your contribution, have fun and enjoy Korean beach & food.QuotationDear Dr. Biao Guo, Dr. Qian Han and Dr. Doojin Rhu,I am pleased to notify that the review committee has decided to accept your paper,  “Nonparametric Tests for the Martingale Restriction: A New Approach” for the presentation at the 2011 Asia-Pacific Association of Derivatives...

Necessity to Explain CDS with A Regime Switching Model

July 7, 2011 Comments (0)

Examining the determinants of credit default swap (CDS) spreads is a hot topic, CDS spread has displayed siginificant regime switching behaviour since the break of credit crisis, which can be seen from the old graph in the post Credit Default Spread and Historical VolatilityThere are sound reasons to believe that CDS spreads keep high in the period of turbulence while stay stable during most of quiet periods. To investigate if there is possible regime switch phenomenon, I run a three year...