Practical Valuation of Power Derivatives

28th May 2018 Editor 0

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 […]


What is Implied by Implied Volatility?

14th May 2018 Editor 0

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 […]


Big Time Series Analysis with JuliaDB

25th April 2018 Editor 0

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 […]


Introduction to Variance Swaps

16th April 2018 Editor 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 […]


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 […]


Not-so-complex Logarithms in the Heston Model

5th February 2018 Editor 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. […]

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