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Blog: Risk Management Week in Review 020512
tigergb 963 days ago
A Review of Volatility and Option Pricing: a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stoch...
Blog: Blog Post: PatrickBurns: Popular posts 2012 April
MoneyScience 964 days ago
Most popular posts in 2012 April Information flows like water Replacing market indices The top 7 portfolio optimization problems A tale of two returns (posted in 2010) Cross-...
Blog: USDJPY Weakness Says It All
SteveT 965 days ago
This week is an exceptionally busy week in the foreign exchange market. With 2 major central bank rate decisions, 3 countries releasing employment reports and key Chinese eco...
Blog: Volatility Smacks Hedge Funds
SteveT 966 days ago
Stock-trading hedge funds looking to extend their first-quarter rebound ran into a familiar adversary this month: a nervous market. WSJ.com: Markets Volatility Smacks Hedge Fu...
Blog: Good Strategy Bad Strategy Week in Review 130412
tigergb 968 days ago
RExcel: call R in Excel.Speed up your R code using a just-in-time (JIT) compiler: A simple trick to speed up your R code.Assessing Models of Individual Equity Option Prices: T...
Blog: Prof Hal White Passed Away Week in Review 020412
Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility: on average, about 99% of the intraday variation of implied volatility can be explained by moneyness and...
Blog: 2011 Risk Manager of the Year Week in Review 010312
LABORSTA Internet: View and download data for over 200 countries or territories from LABORSTA, an International Labour Office database on labour statistics operated by the ILO...
Blog: Option Strategies Week in Review 160212
Stochastic Volatility Models and the Pricing of VIX Options: this paper examines and compares the performance of a variety of continuous-time volatility models in t...
Blog: Stochastic Volatility Models and the Pricing of VIX Options
Stochastic Volatility Models and the Pricing of VIX Options is written by Joanna Goard, Mathew Mazur and published in Mathematical Finance. It examines and compares the perfor...
Blog: Selected Papers of PhD Forum 12132011
I am finally back China from the 24th Australasian Finance & Banking Conference, 22 hours long flight from London -> Shanghai -> Sydney is more challenging than I thought. In ...
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