When pricing structured or derivative financial instruments, the typical steps a quant has to do are the following: 1. Choose a model for the movement of the underlying(s) 2. Identify (“calibrate”) the model parameters from […]
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Volume 2018, Issue 95. Pages 1–72 Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here. In this issue: Bibliography “Contents,” Wilmott, vol. 2018, iss. 95, pp. […]
In this paper I look at the practical valuation of power derivatives from a trader’s perspective. Most people that have written about valuation of power derivatives are academics or quants working in the research departments […]
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Word and concept Implied volatility is not just a word or a concept. As a word, what is implied by implied volatility – what “implied volatility” means – is the value of the Brownian diffusion […]
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The next generation of data analysis requires the next generation of tools. The most popular opensource packages for data analysis (Python’s pandas and various R packages) are designed to work with small files of basic […]
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The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader. Section 1 gives […]
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