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Notes
Skew monotony under Displaced Lognormal models
Study carried out by the Quantitative Practice Special thanks to Junbin LIU. NOS PUBLICATIONSscroll down Revenir à la page précédente Télécharger Skew monotony under Displaced Lognormal models Skew monotony under Displaced Lognormal models
Notes
Strategy Discovery And Backtesting: How To Handle Multiple Testing?
La réalisation de backtests est une étape essentielle de la recherche d'une stratégie quantitative. Si le backtest consiste avant tout à regarder comment aurait performé une stratégie candidate dans le passé, il ne s'agit néanmoins pas d'une technique neutre, c'est-à-dire sans impact sur la performance réelle de la stratégie. En effet, la réalisation de multiples...
Notes
Pricing of Variance Swaps in a Mean-Reverting Gaussian Volatility Model
Trading volatility is not the newest idea in finance, even though it is not something which is as straightforward as the trading of other asset since volatility is not a tradable asset in itself. It is only a quantity which is related to another tradable asset. However, due to the strong interest in volatility, volatility...
