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May 22, 2008: Parabolas in Financial Markets  |
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Oct 10, 2007: Volatility, Correlation and the Variance-Covariance Matrix |
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May 04, 2007: Partial Differential Equations in Finance |
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Feb 24, 2007: Cleaning a Correlation Matrix of Asset Returns - Spreadsheet Example |
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Feb 15, 2007: Principal Components Analysis and the Cholesky Decomposition |
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Jan 28, 2007: Monte Carlo Integration on Excel spreadsheet |
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Oct 03, 2006: Using Point Biserial Correlation in Credit Analysis |
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Sep 28, 2006: Mathematics for Traders |
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Jun 25, 2006: Breakdown of Credit Correlation Matrix for a First to Default Basket |
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Jun 01, 2006: Monte Carlo Simulation by Cholesky or PCA?-Part II |
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Jun 01, 2006: Monte Carlo Simulation by Cholesky or PCA?-Part I |
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May 17, 2006: A Beginner's Guide to Credit Derivatives |
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May 08, 2006: CDO Pricing Puzzle - Hoping for a "Model Nirvana" |
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Apr 22 2006: Enhanced Numerical Methods with for Options with Barriers |
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Apr 04, 2006: Arc Sine Law-A Trader's Dilemma |
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Mar 11, 2006: Interest Rates and Newton's Law of Cooling |
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Mar 06, 2006: Interest Rate as a Call Option |
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Feb 12, 2006: Derivatives Quiz # 1 |
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Oct 20, 2005: Why so much fuss about Taylor Series Expansion? |
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Sep 05, 2005: Black-Scholes in English |
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Aug 23, 2005: Once Again an Infinite Series |
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Jun 27, 2005: A Simple Credit Risk Model for Emerging Markets |
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Jun 17, 2005: An Infinite Problem |
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Apr 12, 2005: Pricing Exotics Under Smile
(As appeared in Risk Magazine in November 1999 and J P Morgan, September, 1999) |
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Apr 04, 2005: The Back of Beyond |
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Apr 04, 2005: Asian Connections |
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Apr 04, 2005: The Relationship Between Implied and Realized Volatilities of S&P 500 |
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Mar 23, 2005: Lessons in Stock Picking: A Stock-picker Eyes Late Stage Cyclicals
Traders, NY |
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Mar 21, 2005: Option Pricing with Pizzas |
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Mar 06, 2005: Model Risk and Its Control
This is an excellent paper on Model Risk, the mother of all risks, by Toshiyasu Kato and Toshinao Yoshiba of Bank of Tokyo Mitsubishi and Bank of Japan published in December 2000. We strongly recommend all quants to read this paper thoroughly. |
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Feb 21, 2005: De-Mystifying "Rocket Science" |
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Feb 10, 2005: Blowing Up - How Nassim Taleb Turned The Inevitability Of Disaster Into An Investment Strategy
(Posted with permission) |
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