Risk Latte - Financial & Economic Analysis

Quantitative Finance

Principal Components Analysis (PCA) in Quantitative Finance
The Allure of the Libor Market Model (LMM)
Our Time in Finance
Pricing Models for Exotic Cliquet Options
Deconstruction and Risk Analysis of Exotic Cliquets
The Simple Mathematics of Portfolio Insurance
Is the Call Option Price a Probability Measure?
Dirac Delta function and the Binary Option: A Spike all the way up to the Heavens
Riemann Zeta Function and the Brownian Motion of Asset Prices: Number Theory meets Quantitative Finance
Contingent and Non-contingent Claims in Financial Derivatives
Mathematician and the Trader: Grappling with the Moments of a Gaussian distribution
Is the mathematical Constant "pi" hidden in the Black-Scholes Equation?
Using numbers to explain Convexity and why derivatives have value - II
Using numbers to explain Convexity and why derivatives have value - I
Installment Warrant Valuation using Gaussian Quadrature Methods
From Stochastic Variance to Stochastic Volatility – Another look at the Heston’s Process
Laplace Transforms and the Time Value of Money - I
Levy Processes for valuation of Equity & FX Derivatives - Explaining the fat tails
Asset Price Dynamics: Which Stochastic Process explains the Volatility Skew best?
What are spurious paths in Monte Carlo Simulation?
Google PageRank Algorithm – The World’s Largest Eigenvalue Problem
A Double Mean Reverting Model for analyzing Stochastic Volatility
Black-Sholes PDE and Valuation of Options using Green’s Function
Estimating Correlation Vega of a Basket
The Need for a Brownian Bridge to value Derivatives
The Strange Equation of physics that turned our world Upside Down
Valuation of Callable Options and Structures
More on Risk Analysis of Multi-Asset Options
Risk Analysis of Multi-asset options
Maximizing Entropy and the 50:50 rule in the financial markets
New Equity Structured Product: Nifty Level Allocator
Raising Transition Probability Matrices to Non-Integer powers - a problem in Quantitative Finance
How do we model Stochastic Correlations?
Fibonacci Numbers and the Golden Ratio - An Eigenvalue problem
What is Model free Implied Volatility?
Estimating Implied Volatility using Newton-Raphson method
Analysing the Determinant of a Variance-Covariance or a Correlation Matrix
In Finance, we use the counterintuitive, Physics-type “Randomness”
What are “Linear” and “Non-Linear” systems?
Understanding the Black-Scholes Partial Differential Equation (PDE)
Exotic Option Strategies for the current market
Worst of Up and Out Put Option – Vega Risk and the Correlation Skew
What does the Black-Scholes Option Pricing Formula really tell us?
Worst of Up and Out Put Option – Need for such a Structure and its Risk Management
The Problem with measuring risk sensitivities in Black-Scholes Option pricing model
Why are Asset paths unpredictable in the short run?
Why do we have Log Returns in continuous time finance?
How Random are Random Numbers in a Monte Carlo Simulation problem
When a Stochastic Differential Equation blows up on an Excel spreadsheet
The Problem with the Probability measure
Uncertainty Principle in Quantitative Finance and Probabilistic Correlation
Quantum Random Walk - Could this be a model of Financial Assets?
The "Zero-Space" in interest rates, financial assets, and our lives! - Part II
The "Zero-Space" in interest rates, financial assets, and our lives! - Part I
Heston Stochastic Volatility Model and pricing second generation Exotics
A Credit Default Swap (CDS) is a proxy for a Put Option on the Assets of a Firm
The Resurgence of Stochastic Volatility Models
Parabolas in Financial Markets
Installment Call Warrants on Hang Seng Index
Hybrid Conditional Trigger Notes - A product for the bear market
Perpetual Capped Call Note (American style) with no maturity
Volatility linked FX Product for Institutional Customers
Zero Volatility of Assets - Reality or Excursions in the abstract space?
What volatility to use for pricing Barrier Options
Amortizing Options - buying options when volatility is very high
Trading Volatility - Strategies to buy and sell volatility of stocks
Relationship between Asset Volatilities and Spread Volatility - II
Relationship between Asset Volatilities and Spread Volatility - I
Volatility, Correlation and the Variance-Covariance Matrix
Market for Lemons and Credit
As Stocks fall, why do volatilities increase?
Pay Later Option - A very simple Structured Product
Do Companies and firms live and die like human beings?
Are the banks which lost money recently victims of Negative Skew?
What is the Monte Carlo Simulation method in Derivatives Pricing?
Decomposition of Structured Product through Pay-Off Diagrams
Dynamics of Long Dated FX Products - Power Reverse Dual Currency Notes
Hedging Error due to Volatility Smile - the first lesson of a trainee Trader
Power Reverse Dual Currency (PRDC) Structures - Are they Hybrids?
Deconstructing a Capped Bull Note
Partial Differential Equations in Finance
Why Futures are priced differently from Forward contracts?
Analyzing Futures and Forwards - A Trainer's agony!
History of Asset Prices and the Rare Event
Leveraged Bet - a negative skew trade
Cleaning a Correlation Matrix of Asset Returns - Spreadsheet Example
Principal Components Analysis and the Cholesky Decomposition
Living with the Higher Moments of the Normal Distribution
A world with only two moments of the Normal distribution
Monte Carlo Integration on Excel spreadsheet
Going for the "big step" correlation in assets
Why do Options have Convexity (gamma)?
Local Volatility using Jump to Ruin - An option trader's tale
Is Swaption an Exchange Option?
Exchange Option - An Interesting Payoff
Exchange Option - Impact of Correlation
Option Valuation is Counter-intuitive - Why is that?
Vanillas and Exotics - Dimensionality and Order
Leland's Formula for Volatility Adjustment
Using Point Biserial Correlation in Credit Analysis
Mathematics for Traders
Understanding the Delta of an Option
Complex Issues in Equity Knock-In Structures
Straddle Options - A New Volatility Product
Going for the Leverage in Options
Using Series Expansion to Calculate Option Probabilities
Implied Volatility from Market Jumps: a Trader's Choice
Exponentials in Finance - A Billionaire's woe
Pricing of vanilla Power Reverse Dual Currency (PRDC) Swaps
Absurd Results in Quantitative Finance
The High and Low of Asset Prices - Parkinson's Approach
Measuring Asset Returns using Logarithms
Out-performance Equity Note on Japanese Stocks
Principal Protected Composite JPY Note
Pricing Principal protected JPY Mixed Note
Integrating the Discount Factors-A useful Approach
Structuring a Yen Indexed Note-For Suckers only!
Breakdown of Credit Correlation Matrix for a First to Default Basket
Why Default Risk behaves like a Put Option?
Simulating Default Time for Pricing CDOs
Shouting at Nikkei225 Index-An American in Disguise
Structuring a Floating Rate Note - Financial Engineering 101
Monte Carlo Simulation by Cholesky or PCA?-Part II
Monte Carlo Simulation by Cholesky or PCA?-Part I
Binomial Trees vs. Monte Carlo Simulation-Which one is better?
A Gold Cliquet-Pricing with the Term Structure of Volatility
Arc Sine Law-A Trader's Dilemma
What is "Skew"?
Trading Range Warrants on BSE Sensex 30*
How Risky is a Stock?-Look at the Dividend Yield
Volatility Trading Using Vanilla Options
Interest Rates and Newton's Law of Cooling
Interest Rate as a Call Option
Volatility as an Inverse Problem - A Very Simple Explanation
Pricing a Bull and Bear Note
USD Ten Asset Basket
Accumulator
Estimating Implied Volatility on back of an envelope
Why so much fuss about Taylor Series Expansion?
Puttable-Callable Reset Bonds – A Quack Deal
Estimating long term volatility regimes with Markov chains
Thirty Five Years of Volatility
Looking For Gamma
Black-Scholes in English
The Range Box Product
Once Again an Infinite Series
Betting on Anything - It All depends on the Dispersion
Pricing Employee Stock Options (ESOP) as Forward Start Options
Delta Hedging A Note on a Basket of Three Assets
Equity Collar (risk reversal) on Hang Seng Index (HSI)
The Dollar-Yen Reverse Knock-in Options
Spiking Equity Implied Correlation - A Rare Dispersion Trade
Put-Call Risk Symmetry
The Log Forward Contract - A Beautiful Product
Barriers and Volatility
Can HSBC Ever default on its Debt?
An Infinite Problem
Mountain Range Notes on DJIA, Hang Seng and Nikkei225
Matched Funding
Is UBS A Victim of Chaos Theory?
Another Quintessential Question- Ruining A Hedge Fund Manager's Appetite!
Quanto Tip Top Swap
Quanto Capped Range Accrual Swap
A Quintessential Bet
KOSPI Derivatives - A Recipe for Disaster?
Quanto Asian Rainbow Call Option
Australian Dollar Bear Note
USD/JPY KO Installment-Premium Option
Quanto Equity Note
Yield on Long Term Bonds- A Mathematical Mystery!
Capital-protected Full Participation Notes – Active Leverage Strategy
Option Pricing with Pizzas
LIBOR in Arrears Swap – Again?
Index Call with FX Barrier
What is Convexity & Concavity?
Volatility and Long Term Options
Interest Rate Swaps and the Gamma Problem
What Are Financial Derivatives
Why Hong Kong Stocks should Fall? – Indications from the Volatility Index
De-Mystifying "Rocket Science"
HongKong Volatility Index at record low!
Options on Variance Swaps
Zero Cost Exotic Structure
Callable Ratchet Range Accrual
Callable Convertible Bond Asset Swap Pricing
Options on Variance Swaps
Management Of Negative Gamma - Part I
Piecewise Linear-Payout on Hang Seng Index
Binary Call on Hang Seng Index
Asian FX Volatilities - Turning Point?
Ripples in the Regional Currency Options Market
Exotic Structures Weighing on USD/YEN Options Market
AUD/USD
Buying Commonwealth Bank Stock with Protective Put Options
Has the USD Rebounded?
Sell Samsung Electronics Volatility and Buy KOSPI 200 Volatility
G7 Meeting, Long Gammas and Event Risk in FX Options Market
Hedge Funds Shorting USD/YEN and Buying USD Calls: A Case of Skew Inversion
Sell 6 Month ATM Straddle on Hang Seng Index - A High Risk Strategy!
Risk Management Crisis in the FX Options Market