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Aug 18 # Quantitative Finance

## Portfolio analysis: return on portfolio

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

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

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