R RaghuramanThe 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…2 min read·Dec 11, 2021----
R RaghuramanThe 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…3 min read·Dec 11, 2021----
R RaghuramanShake 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…2 min read·Dec 11, 2021----
R RaghuramanHello Hurst!An interesting characteristic of time series is autocorrelation — In simple terms, it can be interpreted as memory in markets. Mr. Hurst…2 min read·Dec 11, 2021----
R RaghuramanNormality?There is a lot (roughly 328 Million search results in google) said and talked about normality, specifically in the returns distributions of…2 min read·Dec 11, 2021----
R RaghuramanMonte 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…2 min read·Dec 11, 2021----
R RaghuramanDating, 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…3 min read·Dec 11, 2021----
R RaghuramanTo 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…2 min read·Dec 11, 2021----
R RaghuramanFood volatility from Open SourceThe historical volatility (20-day annualized) in percentages of a few traded agricultural commodities over many years.1 min read·Dec 11, 2021----
R RaghuramanPrice and volIt is a well known fact that stock market prices are negatively correlated to the volatility. For those that are sufficiently inclined to…2 min read·Dec 11, 2021----
