GLORIA

https://symin.us/posts/financial_engineering/2024-04-01.html Gloria - The Volatility Smile - Chapter 4 - Variance SwapsOption values are sensitive to volatility and stock price A better way to trade pure volatility is through volatility and variance swaps How to replicate a variance swap out of a portfolio of options that has the payoff of a log contract How to replicate asymin.us

https://symin.us/posts/financial_engineering/2024-03-31.html Gloria - The Volatility Smile - Chapter 3 - Static and Dynamic Replication symin.us

https://symin.us/posts/financial_engineering/2024-03-30.html Gloria - Quantitative Finance - Chapter 80 - Monte Carlo simulationThe relationship between option values and expectations for equities, currencies, commodities and indices the relationship between derivative products and expectations when interest rates are stochastic how to do Monte Carlo simulations to calculate derivasymin.us

https://symin.us/posts/financial_engineering/2024-03-29.html Gloria - The Volatility Smile - Chapter 2 - The principle of replicationThe law of one price: similar things must have similar prices Replication: the only reliable way to value a security A simple up-down model for the risk of stocks, in which expected return \(\mu\) and volatility \(\sigma\) are all that matter The Law of onsymin.us

https://symin.us/posts/financial_engineering/2024-03-28.html Gloria - Quantitative Finance - Chapter 46 - defects in the Black-Scholes modelSummary Black-Scholes option pricing model은 정말 크게크게 성공한 공식이다. 덕분에 파생상품에 관련된 모든 곳에서 해당 공식을 사용하고 있다. 다만, 강력한 가정 때문에 사용에 조심해야 한다. 현실은symin.us

https://symin.us/posts/financial_engineering/2024-03-27.html Gloria - Quantitative Finance - Chapter 45 - financial modelingSummary 현실에서 모델을 활용해야 할 때는 조심해야 한다. 주의해야 할 사항은 다음과 같다 유명한 모델은 간단한 모델인 경우가 많다 수학적으로 간단하고 closed-form solution을 도출할 수 있는 모symin.us

https://symin.us/posts/financial_engineering/2024-03-26.html Gloria - Quantitative Finance - Chapter 20 - forecasting the markets?some of the commonly used technical methods for predicting market direction some modern approaches to modeling markets and their microstructure Technical analysis Technical analysis is a way of predicting future price movements based only on observing thesymin.us

https://symin.us/posts/financial_engineering/2024-03-25.html Gloria - Quantitative Finance - Chapter 19 - Value at Risk the meaning of VaR how VaR is calculated in practice some of the difficulties associated with VaR for portfolio containing derivatives Introduction The financial institution had no idea what might result from some of their more exotic transactions, often i symin.us

https://symin.us/posts/financial_engineering/2024-03-24.html Gloria - Quantitative Finance - Chapter 18 - portfolio management Modern portfolio theory and the capital asset pricing model optimizing your portfolio alternative methodologies such as cointegration how to analyze portfolio performance Introduction The theory of derivatives pricing is theory of deterministic returns: we symin.us

https://symin.us/posts/financial_engineering/2024-03-23.html Gloria - Quantitative Finance - Chapter 17 - investment lessons from blackjack and gambling the rules of blackjack blackjack strategy and card counting the Kelly criterion and money management no arbitrage in horse racing The rules of blackjack The aim of the game for the player is to hold a card count greater than that of the dealer w..