- QUANTITATIVE RESEARCH AND TRADING - The latest theories
- Black Scholes Model - Investopedia
- MML - FORETRADE
Foreign exchange options (also known as foreign currency options) help investors hedge against exchange rate fluctuations. They give the purchaser the right to exchange one currency for another at a fixed price.
QUANTITATIVE RESEARCH AND TRADING - The latest theories
I saw you awesome intraday excel file.
I would like buy an excel spreadsheet witch produces the following customized intraday data output:
Black Scholes Model - Investopedia
One of the most widely used risk measures is the Value-at-Risk, defined as the expected loss on a portfolio at a specified confidence level. In other words, VaR is a percentile of a loss distribution. But despite its popularity VaR suffers from well-known limitations: its tendency to underestimate the risk in the (left) tail of
MML - FORETRADE
You can't do quantitative finance without stochastic calculus. The following articles discuss the relevant stochastic calculus you need to understand the famous Black-Scholes equation derivation.
In Excel you can easily calculate the standard normal cumulative distribution functions using the function, which has 9 parameters:
One of the most common ways to estimate risk is the use of a Monte Carlo simulation (MCS). For example, to calculate the value at risk (VaR) of a portfolio, we can run a Monte Carlo simulation that attempts to predict the worst likely loss for a portfolio given a confidence interval over a specified time horizon - we always need to specify two conditions for VaR: confidence and horizon. (For related reading, see The Uses And Limits Of Volatility and Introduction To Value At Risk (VAR) - Part 6 and Part 7 .)
This is the place to start if you are looking for guidance on how to accelerate your quant career. I've discussed changing careers, PhDs, MFEs and as well as the different types of quant roles.
Bayesian statistics involves making use of prior information along with available data in order to draw statistical conclusions. It is used heavily in quantitative finance.
In this case, let's assume that the stock begins on day zero with a price of $65. Here is a chart of the outcome where each time step (or interval) is one day and the series runs for ten days (in summary: forty trials with daily steps over ten days):
The two formulas are very similar. There are 9 terms in each formula. I will again calculate them in separate cells first and then combine them in the final call and put formulas.