The shortcut premiumSay a trader wishes to price an At-the-Money option (which is somewhat close to expiry) and is not in front of his tablet or a computer…Dec 11, 2021Dec 11, 2021
The Expiry TraumaThe gush of fresh air from opening the window made Joe sit up with renewed energy. The trading desks were buzzing with phones and people…Dec 11, 2021Dec 11, 2021
Shake that ladder!Say you have got a great system to trade. It could be a simple logic that is handwritten or it could be a complicated computer algorithm to…Dec 11, 2021Dec 11, 2021
Hello Hurst!An interesting characteristic of time series is autocorrelation — In simple terms, it can be interpreted as memory in markets. Mr. Hurst…Dec 11, 2021Dec 11, 2021
Normality?There is a lot (roughly 328 Million search results in google) said and talked about normality, specifically in the returns distributions of…Dec 11, 2021Dec 11, 2021
Monte Carlo pricing with & without antithetic variationWhile generally speaking Aristotelian logic dictates that the whole is greater than the sum of its parts, in the world of finance…Dec 11, 2021Dec 11, 2021
Dating, day-trading and the chance of choice!There are many different flavours of the following problem. They all lead to an intriguingly simple answer and we will see how we may be…Dec 11, 2021Dec 11, 2021
To hedge or not to hedge?!Pricing options have been scientific and had won the Noble prize for Merton and Scholes for their groundbreaking work. But ask any…Dec 11, 2021Dec 11, 2021
Food volatility from Open SourceThe historical volatility (20-day annualized) in percentages of a few traded agricultural commodities over many years.Dec 11, 2021Dec 11, 2021
Price and volIt is a well known fact that stock market prices are negatively correlated to the volatility. For those that are sufficiently inclined to…Dec 11, 2021Dec 11, 2021
