Articles

Introduction to Variance Swaps

16th April 2018 admin 0

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

2nd April 2018 Editor 0

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 […]

Articles

Not-so-complex Logarithms in the Heston Model

5th February 2018 admin 0

In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. […]

Articles

Six Degrees of Idiocy

22nd January 2018 admin 0

One of the classic works of poker, and risk management, is Herbert Yardley’s 1957 best-seller, The Education of a Poker Player, Including Where and How One Learns to Win. Yardley is an important transitional figure. […]

Articles

Derivatives Technology as a Matter of Survival

11th December 2017 Editor 0

How can banks survive the upcoming years? The traditional business model no longer works because: 1. Low/negative interest rates: Interest rates in many major currencies (euros, CHF, JPY in particular) are low or even negative. […]

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