Quantitative Finance
A Double Mean Reverting Model for analyzing Stochastic
Volatility
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
Maximizing Entropy and the 50:50 rule in the
financial markets
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?
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)
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
Parabolas in Financial Markets
Volatility, Correlation and the Variance-Covariance
Matrix
Partial Differential Equations in Finance
Cleaning a Correlation Matrix of Asset Returns -
Spreadsheet Example
Principal Components Analysis and the Cholesky
Decomposition
Monte Carlo Integration on Excel spreadsheet
Using Point Biserial Correlation in Credit Analysis
Breakdown of Credit Correlation Matrix for a First to
Default Basket
Monte Carlo Simulation by Cholesky or PCA?-Part II
Monte Carlo Simulation by Cholesky or PCA?-Part I
A Beginner's Guide to Credit Derivatives
CDO Pricing Puzzle - Hoping for a "Model Nirvana"
Enhanced Numerical Methods with for Options with
Barriers
Arc Sine Law-A Trader's Dilemma
Interest Rates and Newton's Law of Cooling
Interest Rate as a Call Option
Why so much fuss about Taylor Series Expansion?
A Simple Credit Risk Model for Emerging Markets
Lessons in Stock Picking: A Stock-picker Eyes Late
Stage Cyclicals
(Traders, NY)
De-Mystifying "Rocket Science"
Blowing Up - How Nassim Taleb Turned The
Inevitability Of Disaster Into An Investment
Strategy
(Posted with permission)
Estimating Implied Volatility using Newton-Raphson
method
Heston Stochastic Volatility Model and pricing
second generation Exotics
The Resurgence of Stochastic Volatility Models
Zero Volatility of Assets - Reality or Excursions in
the abstract space?
What volatility to use for pricing Barrier Options
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
Hedging Error due to Volatility Smile - the first
lesson of a trainee Trader
Local Volatility using Jump to Ruin - An option
trader's tale
Leland's Formula for Volatility Adjustment
Straddle Options - A New Volatility Product
Implied Volatility from Market Jumps: a Trader's
Choice
The High and Low of Asset Prices - Parkinson's
Approach
Volatility Trading Using Vanilla Options
Volatility as an Inverse Problem - A Very Simple
Explanation
Estimating Implied Volatility on back of an envelope
Estimating long term volatility regimes with Markov
chains
Thirty Five Years of Volatility
KOSPI Derivatives - A Recipe for Disaster?
Volatility and Long Term Options
Why Hong Kong Stocks should Fall? – Indications
from the Volatility Index
HongKong Volatility Index at record low!
Management Of Negative Gamma - Part I
Asian FX Volatilities - Turning Point?
Ripples in the Regional Currency Options Market
Exotic Structures Weighing on USD/YEN Options
Market
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
