Articles

Articles

Life Settlements and Viaticals

27 June 2018 Editor Comments Off on Life Settlements and Viaticals
In this chapter… • life • sex • death 1 Introduction And now for something completely. . .morbid. Life settlements and viaticals are contracts associated with death. The two expressions can be used interchangeably, although […]
Articles

Calibration problems – An inverse problems view

11 June 2018 Editor Comments Off on Calibration problems – An inverse problems view
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 […]
Articles

Practical Valuation of Power Derivatives

28 May 2018 Editor Comments Off on Practical Valuation of Power Derivatives
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 […]
Articles

What is Implied by Implied Volatility?

14 May 2018 Editor Comments Off on What is Implied by Implied Volatility?
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 […]
Articles

Big Time Series Analysis with JuliaDB

25 April 2018 Editor Comments Off on Big Time Series Analysis with JuliaDB
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 […]
Articles

Introduction to Variance Swaps

16 April 2018 Editor Comments Off on Introduction to Variance Swaps
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 […]
Articles

Monte Carlo in Esperanto

2 April 2018 Editor Comments Off on Monte Carlo in Esperanto
This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo. The clsMathParser is a class for math expression evaluation in Excel/VBA. We show that a […]