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. Logged-in members can […]
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 […]
From a cigar butt to a humidor full of Havanas, courtesy of Mr Buffett. Logged-in members can download the article by clicking the link below. To log in or register visit here.
Driven by a competitive market and motivated by the new Basel Capital Accord (Basel II), banks have put a lot of effort into development and improvement of their methods to assess the creditworthiness of their […]
Elie Ayache begins a new series taking his hammer to some cherished concepts. Logged-in members can download the article by clicking the link below. To log in or register visit here.
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 […]
Some numerical methods for efficient implementation of the 1- and 2-factor Markov Functional models of interest rate derivatives are proposed. These methods allow a sufficiently rapid implementation of the standard calibration method, that joint calibration […]
We present here a generalisation of an earlier approach for determining and locating the optimal capital structure of a corporate firm. The approach is the “maximumvalue” methodology and the generalisation extends the original problem to […]
“Investing in a market where people believe in efficiency is like playing bridge with someone who has been told it doesn’t do any good to look at the cards.” – Warren Buffett Logged-in members can […]
In the aftermath of Katrina in 2005, Bill Ziemba discusses planning for the economic and financial effects of natural disasters. Logged-in members can download the article by clicking the link below. To log in or […]