Algorithmic and Quantitative Trading Online Videos
It is really not easy to find online video courses on algorithmic and quantitative trading for newbies, until recently I got an email introducing this...
Author : Math Finance
Why doesn’t the choice of performance measure matter?
Choosing an appropriate performance measure is important for fund investors, nevertheless, many researchers find empirically that the choice of measures does not matter because those...
Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders
Pawel wrote a great article on predicting heavy and extreme losses in real-time for portfolio holders, the goal is to calculate the probability of a...
CDS Inferred Stock Volatility
I have written a working paper on CDS (credit default swap) implied stock volatility and found some interesting results. Post it here just in case...
Recent developments of option pricing models
Journal of Econometrics accepts several papers on option pricing, some are quite interesting and represent the recent developments of this field. I list them here...