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Most of us have read the book Liar’s Poker: Rising Through the Wreckage on Wall Street, one of the books that define Wall Street during the 1980s and are highly recommened by many people in academia and industry, where the author Michael Lewis described his experiences as a bond salesman in a humon sense. [...]
Stochastic volatility models, specifically, Heston model, SABR model, are introduced before and become the widely used among academia and industry. However, the calibration process is difficult because generally the pricing requires numerical integration, and calibration requires to find five and eight parameters instead of only one for Black Scholes model.
Found a paper Calibrating Option [...]
After the successful release of free ebook 14 Critical Lessons Every Trader Should Know, elliott wave international decides to present another new free report: Improve Your Trading With Objective Method, .
You’ve heard the common trading advice: “Successful traders know how to control their emotions, instead of being controlled by their emotions.” I bet you’re [...]
Following Value at Risk xls and var backtesting, a third post about using historical simulation for Value at Risk calculation. We know one shortcoming of historical simulation is: the result highly depends on the choice of sample data length, VaR result does not vary often or changes suddenly. Despite this weakness, HS is still [...]
Friday again, just a final kind remind, since Change of Friday Reading List Setting, I have been updating Friday reading list on page articles, for example, the list of this week includes:1, Testing for Asymmetric Dependence, http://www.bepress.com/snde/vol14/iss2/art2/;2, Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model, http://www.bepress.com/snde/vol14/iss2/art1/;3, Improving Portfolio Selection Using Option-Implied Volatility and Skewness [...]
An interesting application of Inverse Graphing Calculator, where you enter any word from A to Z into your calculator and then get a graph of the curve.
For instance, if you write an equation:
you would get a graph below:
Creat your own at http://www.xamuel.com/inverse-graphing-calculator.phpTags – graph
You may also interested into other posts brought to you by [...]
Sudoku is one of my favorite small games I often have fun with, I save one copy at my gphone and play it whenever I want to take a rest. (most of us may have a wrong impression that Sudoku originated in Japan, no, in America.)
I happened to find Cleve Moler solved Sudoku using [...]
I made a small change to the Friday reading list section by adding a new category Articles, which can be easily seen above at the menu bar. So from now on all recommended paper, together with shared interesting articles, will not be shown on the main page any more but rather under separated Articles [...]
For over ten decades, the mainstream financial world has embraced the view that external news events drive trend changes in the markets. In less than ten minutes, EWI’s senior tutorial instructor Wayne Gorman shatters that very idea into a fine dust, swept away into thin air.
In part one of his exclusive, three-part Club EWI [...]
A follow-up of my previous post Value at Risk xls, I was asked why not & how to add a VaR backtesting module in that excel file, well, it is straightforward in principle to do that but since we have to calculate daily VaR for multiple periods in order to do backtesting, I simply [...]
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