2
Aug 18

Quantitative Finance

Portfolio analysis: return on portfolio

Portfolio analysis: return on portfolio

Portfolio analysis: return on portfolio

Efficient market hypothesis is subject to interpretation

Law of iterated expectations: informational aspect Intuitive explanation using Brownian motion

Law of iterated expectations: geometric aspect Geometric explanation using projectors

Conditional-mean-plus-remainder representation

Canonical form for time series

Old versus new tools in Quantitative Finance

Distribution function estimation

Value at Risk and its calculation for a normal distribution

Expected shortfall is next after Value at Risk

Solution to Question 1 from UoL exam 2016, Zone A

Solution to Question 1 from UoL exam 2016, Zone B

Solution to Question 1 from UoL exam 2017, Zone B

Density of a sum of independent variables is given by convolution

Sampling from uniform distribution - example of convolution

Solution to Question 2 from UoL exam 2016, zone A

The Newey-West estimator: uncorrelated and correlated data

Probabilistic intuition behind call option properties

Call options and probabilistic intuition - dependence on strike

Call options and probabilistic intuition - dependence on stock price

Call options and probabilistic intuition - dependence on time

Volatility - king among option price determinants

Interest rate - the puppetmaster behind option prices

Option chain and efficient market hypothesis

Intro to option greeks: delta and its determinants

Intro to option greeks: theta, intrinsic value and time value

Visualization of payoffs on calls and puts