Quantitative Finance
Checklist for Quantitative Finance FN3142
Portfolio analysis: return on portfolio
Efficient market hypothesis is subject to interpretation
Leverage effect: the right definition and explanation
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
Vector autoregressions: preliminaries
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
Solution to Question 3b) from UoL exam 2018, Zone A
Solution to Question 2 from UoL exam 2018, Zone B
Solution to Question 3 from UoL exam 2019, zone A
Solution to Question 2 from UoL exam 2019, zone B
Solution to Question 1 from UoL exam 2020
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
Solution to Question 1 from UoL exam 2016, Zone B, Post 1
Solution to Question 1 from UoL exam 2016, Zone B, Post 2
FN3142 Chapter 12. Forecast comparison and combining Contains video lectures and pdf files
The Newey-West estimator: uncorrelated and correlated data
FN3142 Chapter 13. Risk management and Value-at-Risk: Models
FN3142 Chapter 14 Risk management and Value-at-Risk: Backtesting
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
Strategies for the crashing market
