沈船合體機械人
2018-11-2 21:00:35
Really ching? What kind of VBA they cover?I am not familiar with this language and I thought they are using something like python , R or java
S.Lev
2018-11-2 23:04:28
agree on vba, in front office you would need this skill to do different thing, either for some analysis or automating stupid task before IT fix
宇智波月巴
2018-11-3 01:48:22
good to hear that
:^(
We are trained to use vba/R at uni (at least), but in fact it's just some basic intro, so we still need to learn most of the stuff by ourselves
:^(
錦衣衞
2018-11-3 21:48:28
Update over the weekend?
宇智波月巴
2018-11-3 23:15:40
3.) Black-Scholes-Merton Model (d) Application of risk-neutral pricing formula
咁係開始之前都係照舊同大家重溫一下之前講過嘅重要嘢啦
但係大家可能已經睇到呢隻derivative麻煩嘅地方喺邊
本來普通call嘅strike price K係一個constant 開始之前就已經fix死咗
但係依家forward start嘅strike price係要開始嗰一下先知
咁假設依家我地係一個前過time T1嘅時間 i.e. time t for any t<T1<T
我地究竟仲揾唔揾到呢隻forward start call at time t (now) 嘅fair price呢
大家應該會發現 唔同嘅地方只係依家S_t同K都變咗做1
同埋呢隻call係start at T1 ends at T 所以呢隻call嘅壽命只有T-T1咁長
根據呢啲觀察 其實我地已經可以將呢舊expectation寫成一隻call嘅fair price
不過大家唔好唔記得依家呢個expectation係未discount 所以結果就應該係好似下圖咁
錦衣衞
2018-11-4 01:23:29
The density of CIR process is also known to have a close formula. It is the non-central chi square distribution.
The CIR process is very interesting in mathematics. It is a generalisation of the squared Bessel process. I may add more comments when you start talking about it.
宇智波月巴
2018-11-4 15:37:44
Yea that’s what I mean by fft, doing Fourier transform in log strike. And I’m only focusing on derivative for stocks atm, so the vol. surface I mentioned is for options on stock
:^(
S.Lev
2018-11-4 15:45:03
so there should be sufficient quote in the exchange traded equity option to calibrate the model
:^(
, then you price exotics using this calibrated model
錦衣衞
2018-11-4 19:28:13
In practice, do they price the exotic options by Monte Carlo simulations of paths?
吉吉吉
2018-11-5 00:43:26
Option pricing in this topic is all done in the risk neutral world, which should be about hedging and pricing using the calibrated model form the data. Time series models, however, concern the physical world. Combing them together will be probably related to more theoretical questions, for example asking about the risk premium; on one hand the risk neutral dynamics give the option price, either exact or approximation; on the other hand, the model in the physical world can be obtained with change of measure techniques and then discretized and approximately estimated with tools like MLE.