Harbourfront Technologies
http://tech.harbourfronts.com/articles/
Wed, 05 May 2021 23:12:36 +0000Wed, 05 May 2021 23:12:36 +000060enAll rights reservedfeeds@soundcloud.com (SoundCloud Feeds)We are a boutique financial service firm specializing in quantitative analysis, derivatives valuation and risk management.We are a boutique financial service firm speciali…Harbourfront Technologiesnamanh_ca@yahoo.caHarbourfront Technologiesnohttps://i1.sndcdn.com/avatars-000608494521-0ot0t0-original.jpgHarbourfront Technologies
http://tech.harbourfronts.com/articles/
tag:soundcloud,2010:tracks/1043421292Trend-Following Trading System, Quantitative Trading In PythonWed, 05 May 2021 23:12:36 +0000
https://soundcloud.com/user-999788412/trend-following-trading-system-quantitative-trading-in-python
00:01:41Harbourfront TechnologiesnoIn a previous post, we demonstrated the mean-reverting and trending properties of SP500. We subsequently developed a trading system based on the mean-reverting behavior of the index. In this installment, we will develop a trend-following trading strategy.
http://tech.harbourfronts.com/trend-following-trading-system-quantitative-trading-in-python/In a previous post, we demonstrated the mean-reve…In a previous post, we demonstrated the mean-reverting and trending properties of SP500. We subsequently developed a trading system based on the mean-reverting behavior of the index. In this installment, we will develop a trend-following trading strategy.
http://tech.harbourfronts.com/trend-following-trading-system-quantitative-trading-in-python/tag:soundcloud,2010:tracks/1037330065Mean - Reverting Trading System - Quantitative Trading In PythonMon, 26 Apr 2021 23:25:12 +0000
https://soundcloud.com/user-999788412/mean-reverting-trading-system-quantitative-trading-in-python
00:01:50Harbourfront TechnologiesnoWe develop a simple trading system exploiting the mean-reverting behaviour of the SP500 market index. To generate buy and sell signals, we will use simple moving averages as noise filters. Since we know that the SP500 is mean-reverting in a short term, we will use short-term moving averages.
http://tech.harbourfronts.com/mean-reverting-trading-system-quantitative-trading-in-python/We develop a simple trading system exploiting the…We develop a simple trading system exploiting the mean-reverting behaviour of the SP500 market index. To generate buy and sell signals, we will use simple moving averages as noise filters. Since we know that the SP500 is mean-reverting in a short term, we will use short-term moving averages.
http://tech.harbourfronts.com/mean-reverting-trading-system-quantitative-trading-in-python/tag:soundcloud,2010:tracks/1020024631Autocorrelation Properties of SP500-Quantitative Trading in PythonWed, 31 Mar 2021 23:08:06 +0000
https://soundcloud.com/user-999788412/autocorrelation-properties-of-sp500-quantitative-trading-in-python
00:02:12Harbourfront TechnologiesnoWe are going to examine the mean-reverting and trending properties of SP500 directly using the autocorrelation functions. We do so with the goal of designing quantitative trading systems on stock indices.
http://tech.harbourfronts.com/autocorrelation-properties-of-sp500-quantitative-trading-in-python/We are going to examine the mean-reverting and tr…We are going to examine the mean-reverting and trending properties of SP500 directly using the autocorrelation functions. We do so with the goal of designing quantitative trading systems on stock indices.
http://tech.harbourfronts.com/autocorrelation-properties-of-sp500-quantitative-trading-in-python/tag:soundcloud,2010:tracks/1000008808How to Determine Implied Dividend Yield-Derivative Valuation in ExcelSat, 06 Mar 2021 21:29:42 +0000
https://soundcloud.com/user-999788412/how-to-determine-implied-dividend-yield-derivative-valuation-in-excel
00:02:45Harbourfront TechnologiesnoWe discuss ways to determine the dividend yield accurately. We use traded options to determine the implied dividend yield. Specifically, if the options are of European-style exercise, then we can use the put-call parity to create a synthetic single stock future.
http://tech.harbourfronts.com/how-to-determine-implied-dividend-yield-derivative-valuation-in-excel/We discuss ways to determine the dividend yield a…We discuss ways to determine the dividend yield accurately. We use traded options to determine the implied dividend yield. Specifically, if the options are of European-style exercise, then we can use the put-call parity to create a synthetic single stock future.
http://tech.harbourfronts.com/how-to-determine-implied-dividend-yield-derivative-valuation-in-excel/tag:soundcloud,2010:tracks/998848519Exponentially Weighted Historical Volatility In ExcelThu, 04 Mar 2021 23:50:24 +0000
https://soundcloud.com/user-999788412/exponentially-weighted-historical-volatility-in-excel
00:02:19Harbourfront TechnologiesnoWe use the Exponential Weighted (EW) historical volatility that assigns bigger weights to the recent returns, and smaller weights to the past ones. The EWHV is more responsive than the equally weighted historical volatility. Also, the decline of the EWHV from its peak is smoother than that of the equally weighted HV.
http://tech.harbourfronts.com/exponentially-weighted-historical-volatility-in-excel-volatility-analysis-in-excel/We use the Exponential Weighted (EW) historical v…We use the Exponential Weighted (EW) historical volatility that assigns bigger weights to the recent returns, and smaller weights to the past ones. The EWHV is more responsive than the equally weighted historical volatility. Also, the decline of the EWHV from its peak is smoother than that of the equally weighted HV.
http://tech.harbourfronts.com/exponentially-weighted-historical-volatility-in-excel-volatility-analysis-in-excel/tag:soundcloud,2010:tracks/985556956Modern Portfolio Theory - Effect Of Diversification On The Optimal PortfolioSun, 14 Feb 2021 20:26:01 +0000
https://soundcloud.com/user-999788412/modern-portfolio-theory-effect-of-diversification-on-the-optimal-portfolio
00:02:38Harbourfront TechnologiesnoWe are going to perform some numerical experiments. Specifically, we are going to use the portfolio optimization program developed in the previous post in order to study the effect of diversification.
http://tech.harbourfronts.com/modern-portfolio-theory-effect-of-diversification-on-the-optimal-portfolio-portfolio-management-in-python/We are going to perform some numerical experiment…We are going to perform some numerical experiments. Specifically, we are going to use the portfolio optimization program developed in the previous post in order to study the effect of diversification.
http://tech.harbourfronts.com/modern-portfolio-theory-effect-of-diversification-on-the-optimal-portfolio-portfolio-management-in-python/tag:soundcloud,2010:tracks/973233364Modern Portfolio Theory-Searching For the Optimal Portfolio-Portfolio Management in PythonTue, 26 Jan 2021 17:10:59 +0000
https://soundcloud.com/user-999788412/modern-portfolio-theory-searching-for-the-optimal-portfolio-portfolio-management-in-python
00:02:22Harbourfront TechnologiesnoWe are going to search for the optimal portfolio, i.e. one that has the highest risk-adjusted return. To do so, we will maximize the portfolio’s Sharpe ratio. The Sharpe Ratio is a financial metric that helps investors determine the return of an investment compared to its risk. The higher the Sharpe Ratio of a portfolio, the better it is in terms of risk-adjusted return.
http://tech.harbourfronts.com/modern-portfolio-theory-searching-for-the-optimal-portfolio-portfolio-management-in-python/We are going to search for the optimal portfolio,…We are going to search for the optimal portfolio, i.e. one that has the highest risk-adjusted return. To do so, we will maximize the portfolio’s Sharpe ratio. The Sharpe Ratio is a financial metric that helps investors determine the return of an investment compared to its risk. The higher the Sharpe Ratio of a portfolio, the better it is in terms of risk-adjusted return.
http://tech.harbourfronts.com/modern-portfolio-theory-searching-for-the-optimal-portfolio-portfolio-management-in-python/tag:soundcloud,2010:tracks/942127579Modern Portfolio Theory-Portfolio Management in PythonSat, 05 Dec 2020 21:54:13 +0000
https://soundcloud.com/user-999788412/modern-portfolio-theory-portfolio-management-in-python
00:02:39Harbourfront TechnologiesnoHarry M. Markowitz is the founder of Modern Portfolio Theory (MPT) which originated from his 1952 essay on portfolio selection. In this post, we are going to provide a concrete example of implementing MPT in Python. Our portfolio consists of 3 Exchange Traded Funds (ETF): SPY, TLT, and GLD which track the S&P500, long-term Treasury bond, and gold respectively.
http://tech.harbourfronts.com/trading/modern-portfolio-theory-portfolio-management-python/Harry M. Markowitz is the founder of Modern Portf…Harry M. Markowitz is the founder of Modern Portfolio Theory (MPT) which originated from his 1952 essay on portfolio selection. In this post, we are going to provide a concrete example of implementing MPT in Python. Our portfolio consists of 3 Exchange Traded Funds (ETF): SPY, TLT, and GLD which track the S&P500, long-term Treasury bond, and gold respectively.
http://tech.harbourfronts.com/trading/modern-portfolio-theory-portfolio-management-python/tag:soundcloud,2010:tracks/939539251Statistical Analysis of an ETF Pair-Quantitative Trading In PythonTue, 01 Dec 2020 20:16:52 +0000
https://soundcloud.com/user-999788412/statistical-analysis-of-an-etf-pair-quantitative-trading-in-python
00:02:46Harbourfront TechnologiesnoPair trading, or statistical arbitrage, is one of the oldest forms of quantitative trading. We are going to present some relevant statistical tests for analyzing the Australia/Canada pair. We chose this pair because these countries’ economies are tied strongly to the commodity sector, therefore they share similar characteristics and could be a good candidate for pair trading
http://tech.harbourfronts.com/trading/statistical-analysis-etf-pair-quantitative-trading-python/Pair trading, or statistical arbitrage, is one of…Pair trading, or statistical arbitrage, is one of the oldest forms of quantitative trading. We are going to present some relevant statistical tests for analyzing the Australia/Canada pair. We chose this pair because these countries’ economies are tied strongly to the commodity sector, therefore they share similar characteristics and could be a good candidate for pair trading
http://tech.harbourfronts.com/trading/statistical-analysis-etf-pair-quantitative-trading-python/tag:soundcloud,2010:tracks/929196874Derivative Valuation ServicesSat, 14 Nov 2020 15:11:21 +0000
https://soundcloud.com/user-999788412/derivative-valuation-services
00:01:22Harbourfront TechnologiesnoWe are a boutique financial service firm specializing in quantitative analysis, derivative valuation and risk management. Our clients range from asset management firms to industrial, non-financial companies. Our services include: Valuation of financial derivatives such as convertible bonds, mortgage backed securities, variance swaps, credit default swaps, collateral debt obligation
http://tech.harbourfronts.com/We are a boutique financial service firm speciali…We are a boutique financial service firm specializing in quantitative analysis, derivative valuation and risk management. Our clients range from asset management firms to industrial, non-financial companies. Our services include: Valuation of financial derivatives such as convertible bonds, mortgage backed securities, variance swaps, credit default swaps, collateral debt obligation
http://tech.harbourfronts.com/tag:soundcloud,2010:tracks/921528811Forecasting Implied Volatility with ARIMA Model-Volatility Analysis in PythonSun, 01 Nov 2020 16:37:38 +0000
https://soundcloud.com/user-999788412/forecasting-implied-volatility-with-arima-model-volatility-analysis-in-python
00:02:07Harbourfront TechnologiesnoIn a previous post, we presented theory and a practical example of calculating implied volatility for a given stock option. In this post, we are going to implement a model for forecasting the implied volatility. Specifically, we are going to use the Autoregressive Integrated Moving Average (ARIMA) model to forecast the volatility index VIX.
http://tech.harbourfronts.com/trading/forecasting-implied-volatility-arima-model-volatility-analysis-python/In a previous post, we presented theory and a pra…In a previous post, we presented theory and a practical example of calculating implied volatility for a given stock option. In this post, we are going to implement a model for forecasting the implied volatility. Specifically, we are going to use the Autoregressive Integrated Moving Average (ARIMA) model to forecast the volatility index VIX.
http://tech.harbourfronts.com/trading/forecasting-implied-volatility-arima-model-volatility-analysis-python/tag:soundcloud,2010:tracks/917900539Forecasting Volatility With GARCH Model-Volatility Analysis in PythonMon, 26 Oct 2020 15:16:26 +0000
https://soundcloud.com/user-999788412/forecasting-volatility-with-garch-model-volatility-analysis-in-python
00:01:59Harbourfront TechnologiesnoIn a previous post, we presented an example of volatility analysis using Close-to-Close historical volatility. In this post, we are going to use the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to forecast volatility.
http://tech.harbourfronts.com/trading/forecasting-volatility-garch-model-volatility-analysis-python/In a previous post, we presented an example of vo…In a previous post, we presented an example of volatility analysis using Close-to-Close historical volatility. In this post, we are going to use the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to forecast volatility.
http://tech.harbourfronts.com/trading/forecasting-volatility-garch-model-volatility-analysis-python/tag:soundcloud,2010:tracks/900204817Implied Volatility Of Options-Volatility Analysis in PythonSat, 26 Sep 2020 23:26:40 +0000
https://soundcloud.com/user-999788412/implied-volatility-of-options-volatility-analysis-in-python
00:02:18Harbourfront TechnologiesnoThere are two types of volatility: historical volatility and implied volatility. In a series of previous posts, we presented methods and provided Python programs for calculating historical volatilities. In this post, we are going to discuss implied volatility and provide a concrete example of implied volatility calculation in Python.
http://tech.harbourfronts.com/trading/implied-volatility-options-volatility-analysis-python/There are two types of volatility: historical vol…There are two types of volatility: historical volatility and implied volatility. In a series of previous posts, we presented methods and provided Python programs for calculating historical volatilities. In this post, we are going to discuss implied volatility and provide a concrete example of implied volatility calculation in Python.
http://tech.harbourfronts.com/trading/implied-volatility-options-volatility-analysis-python/tag:soundcloud,2010:tracks/891566083How to Calculate Stock Beta in Excel-Replicating Yahoo Stock BetaFri, 11 Sep 2020 14:42:13 +0000
https://soundcloud.com/user-999788412/how-to-calculate-stock-beta-in-excel-replicating-yahoo-stock-beta
00:01:44Harbourfront TechnologiesnoIn a previous post, we presented a method for calculating a stock beta and implemented it in Python. In this follow-up post, we are going to implement the calculation in Excel. We continue to use Facebook as an example.
http://tech.harbourfronts.com/trading/calculate-stock-beta-excel-replicating-yahoo-stock-beta/In a previous post, we presented a method for cal…In a previous post, we presented a method for calculating a stock beta and implemented it in Python. In this follow-up post, we are going to implement the calculation in Excel. We continue to use Facebook as an example.
http://tech.harbourfronts.com/trading/calculate-stock-beta-excel-replicating-yahoo-stock-beta/tag:soundcloud,2010:tracks/885188797Valuation of Callable Putable Bonds-Derivative Pricing in PythonMon, 31 Aug 2020 18:40:56 +0000
https://soundcloud.com/user-999788412/valuation-of-callable-putable-bonds-derivative-pricing-in-python
00:04:55Harbourfront TechnologiesnoWe are going to discuss valuation of a callable bond. We chose the Hull-White model to describe the interest rate dynamics. We then use a Python program to build a trinomial tree for the risk-free rates
http://tech.harbourfronts.com/derivatives/valuation-callable-puttable-bonds-derivative-pricing-python/We are going to discuss valuation of a callable b…We are going to discuss valuation of a callable bond. We chose the Hull-White model to describe the interest rate dynamics. We then use a Python program to build a trinomial tree for the risk-free rates
http://tech.harbourfronts.com/derivatives/valuation-callable-puttable-bonds-derivative-pricing-python/tag:soundcloud,2010:tracks/878619571Valuation of Warrants-Derivative Pricing in PythonWed, 19 Aug 2020 19:41:41 +0000
https://soundcloud.com/user-999788412/valuation-of-warrants-derivative-pricing-in-python
00:04:17Harbourfront TechnologiesnoA warrant is a financial derivative instrument that is similar to a regular stock option except that when it is exercised, the company will issue more stocks and sell them to the warrant holder. The valuation of warrants is similar to the valuation of stock options except that the effect of dilution should be considered.
http://tech.harbourfronts.com/derivatives/valuation-warrants-derivative-pricing-python/A warrant is a financial derivative instrument th…A warrant is a financial derivative instrument that is similar to a regular stock option except that when it is exercised, the company will issue more stocks and sell them to the warrant holder. The valuation of warrants is similar to the valuation of stock options except that the effect of dilution should be considered.
http://tech.harbourfronts.com/derivatives/valuation-warrants-derivative-pricing-python/tag:soundcloud,2010:tracks/872448526Performance Share Units-Derivative Valuation in PythonSat, 08 Aug 2020 16:46:14 +0000
https://soundcloud.com/user-999788412/performance-share-units-derivative-valuation-in-python
00:02:50Harbourfront TechnologiesnoPerformance share units are hypothetical share units that are granted to you based mainly on corporate and/or individual performance. Structurally, they are very similar to restricted stock units except these are more focused on your performance. They are designed to mirror share ownership and you will generally be granted additional units having the same value as dividends being paid on the regular shares
http://tech.harbourfronts.com/derivatives/performance-share-units-derivative-valuation-python/Performance share units are hypothetical share un…Performance share units are hypothetical share units that are granted to you based mainly on corporate and/or individual performance. Structurally, they are very similar to restricted stock units except these are more focused on your performance. They are designed to mirror share ownership and you will generally be granted additional units having the same value as dividends being paid on the regular shares
http://tech.harbourfronts.com/derivatives/performance-share-units-derivative-valuation-python/tag:soundcloud,2010:tracks/869092909Employee Stock Options-Derivative Pricing in PythonSun, 02 Aug 2020 22:15:29 +0000
https://soundcloud.com/user-999788412/employee-stock-options-derivative-pricing-in-python
00:02:40Harbourfront TechnologiesnoValuation of Employee Stock Options is different from regular stock options. In this post, we are going to implement the approach proposed by Hull and White. Specifically, we are going to implement the vesting and forfeiture rate features. Other features can also be implemented without difficulty
http://tech.harbourfronts.com/derivatives/employee-stock-options-derivative-pricing-python/Valuation of Employee Stock Options is different …Valuation of Employee Stock Options is different from regular stock options. In this post, we are going to implement the approach proposed by Hull and White. Specifically, we are going to implement the vesting and forfeiture rate features. Other features can also be implemented without difficulty
http://tech.harbourfronts.com/derivatives/employee-stock-options-derivative-pricing-python/tag:soundcloud,2010:tracks/867198757Valuing American Options Using Monte Carlo Simulation –Derivative Pricing in PythonThu, 30 Jul 2020 14:57:00 +0000
https://soundcloud.com/user-999788412/valuing-american-options-using-monte-carlo-simulation-derivative-pricing-in-python
00:02:10Harbourfront TechnologiesnoWe are going to present a method for valuing American options using Monte Carlo simulation. This method will allow us to implement more complex option payoffs with greater flexibility, even if the payoffs are path-dependent. Specifically, we use the Least-Squares Method of Longstaff and Schwartz in order to take into account the early exercise feature. The stock price is assumed to follow the Geometrical Brownian Motion.
http://tech.harbourfronts.com/derivatives/valuing-american-options-using-monte-carlo-simulation-derivative-pricing-python/We are going to present a method for valuing Amer…We are going to present a method for valuing American options using Monte Carlo simulation. This method will allow us to implement more complex option payoffs with greater flexibility, even if the payoffs are path-dependent. Specifically, we use the Least-Squares Method of Longstaff and Schwartz in order to take into account the early exercise feature. The stock price is assumed to follow the Geometrical Brownian Motion.
http://tech.harbourfronts.com/derivatives/valuing-american-options-using-monte-carlo-simulation-derivative-pricing-python/tag:soundcloud,2010:tracks/866114020Garman-Klass-Yang-Zhang Historical Volatility Calculation – Volatility Analysis in PythonTue, 28 Jul 2020 18:18:52 +0000
https://soundcloud.com/user-999788412/garman-klass-yang-zhang-historical-volatility-calculation-volatility-analysis-in-python
00:01:41Harbourfront TechnologiesnoWe present an extension of the Garman-Klass volatility estimator that also takes into consideration overnight jumps. Garman-Klass-Yang-Zhang (GKYZ) volatility estimator consists of using the returns of open, high, low, and closing prices in its calculation. It also uses the previous day’s closing price.
http://tech.harbourfronts.com/trading/garman-klass-yang-zhang-historical-volatility-calculation-volatility-analysis-python/We present an extension of the Garman-Klass volat…We present an extension of the Garman-Klass volatility estimator that also takes into consideration overnight jumps. Garman-Klass-Yang-Zhang (GKYZ) volatility estimator consists of using the returns of open, high, low, and closing prices in its calculation. It also uses the previous day’s closing price.
http://tech.harbourfronts.com/trading/garman-klass-yang-zhang-historical-volatility-calculation-volatility-analysis-python/tag:soundcloud,2010:tracks/850313389Garman-Klass Volatility Calculation – Volatility Analysis in PythonWed, 01 Jul 2020 16:23:59 +0000
https://soundcloud.com/user-999788412/garman-klass-volatility-calculation-volatility-analysis-in-python
00:01:28Harbourfront TechnologiesnoIn the previous post, we introduced the Parkinson volatility estimator that takes into account the high and low prices of a stock. In this follow-up post, we present the Garman-Klass volatility estimator that uses not only the high and low but also the opening and closing prices.
http://tech.harbourfronts.com/trading/garman-klass-volatility-calculation-volatility-analysis-python/In the previous post, we introduced the Parkinson…In the previous post, we introduced the Parkinson volatility estimator that takes into account the high and low prices of a stock. In this follow-up post, we present the Garman-Klass volatility estimator that uses not only the high and low but also the opening and closing prices.
http://tech.harbourfronts.com/trading/garman-klass-volatility-calculation-volatility-analysis-python/tag:soundcloud,2010:tracks/849816886Parkinson Historical Volatility Calculation – Volatility Analysis in PythonTue, 30 Jun 2020 19:54:25 +0000
https://soundcloud.com/user-999788412/parkinson-historical-volatility-calculation-volatility-analysis-in-python
00:01:55Harbourfront TechnologiesnoA disadvantage of using the CCHV is that it does not take into account the information about intraday prices. The Parkinson volatility extends the CCHV by incorporating the stock’s daily high and low prices.
http://tech.harbourfronts.com/trading/parkinson-historical-volatility-calculation-volatility-analysis-python/A disadvantage of using the CCHV is that it does …A disadvantage of using the CCHV is that it does not take into account the information about intraday prices. The Parkinson volatility extends the CCHV by incorporating the stock’s daily high and low prices.
http://tech.harbourfronts.com/trading/parkinson-historical-volatility-calculation-volatility-analysis-python/tag:soundcloud,2010:tracks/810852400Close-to-Close Historical Volatility Calculation – Volatility Analysis in PythonThu, 30 Apr 2020 21:47:44 +0000
https://soundcloud.com/user-999788412/close-to-close-historical-volatility-calculation-volatility-analysis-in-python
00:02:20Harbourfront TechnologiesnoIn this post, we are going to discuss historical volatilities of a stock in more details. There are various types of historical volatilities such as close to close, Parkinson, Garman-KIass, Yang-Zhang, etc. Here we will discuss the close-to-close historical volatility. It’s observed that the volatility is a mean-reverting process.
http://tech.harbourfronts.com/trading/close-close-historical-volatility-calculation-volatility-analysis-python/In this post, we are going to discuss historical …In this post, we are going to discuss historical volatilities of a stock in more details. There are various types of historical volatilities such as close to close, Parkinson, Garman-KIass, Yang-Zhang, etc. Here we will discuss the close-to-close historical volatility. It’s observed that the volatility is a mean-reverting process.
http://tech.harbourfronts.com/trading/close-close-historical-volatility-calculation-volatility-analysis-python/tag:soundcloud,2010:tracks/807042958What is Stock Beta and How to Calculate Stock Beta in PythonSat, 25 Apr 2020 19:52:01 +0000
https://soundcloud.com/user-999788412/what-is-stock-beta-and-how-to-calculate-stock-beta-in-python
00:02:17Harbourfront TechnologiesnoIn finance, beta measures a stock’s volatility with respect to the overall market. It is used in many areas of financial analysis and investment, for example in the calculation of the Weighted Average Cost of Capital, in the Capital Asset Pricing Model and market-neutral trading. In this post, we present a concrete example of calculating the beta of Facebook, a technology stock. As for the market benchmark, we utilize SPY.
http://tech.harbourfronts.com/trading/stock-beta-calculate-stock-beta-python/In finance, beta measures a stock’s volatility wi…In finance, beta measures a stock’s volatility with respect to the overall market. It is used in many areas of financial analysis and investment, for example in the calculation of the Weighted Average Cost of Capital, in the Capital Asset Pricing Model and market-neutral trading. In this post, we present a concrete example of calculating the beta of Facebook, a technology stock. As for the market benchmark, we utilize SPY.
http://tech.harbourfronts.com/trading/stock-beta-calculate-stock-beta-python/tag:soundcloud,2010:tracks/783818005Correlation Between the VVIX And VIX IndicesThu, 26 Mar 2020 16:40:06 +0000
https://soundcloud.com/user-999788412/correlation-between-the-vvix-and-vix-indices
00:01:54Harbourfront TechnologiesnoThe VIX index is an important market indicator that everyone is watching. VVIX, on the other hand, receives less attention. In this post, we are going to take a look at the relationship between the VIX and VVIX indices.
http://blog.harbourfronts.com/2020/03/25/correlation-vvix-vix-indices/The VIX index is an important market indicator th…The VIX index is an important market indicator that everyone is watching. VVIX, on the other hand, receives less attention. In this post, we are going to take a look at the relationship between the VIX and VVIX indices.
http://blog.harbourfronts.com/2020/03/25/correlation-vvix-vix-indices/tag:soundcloud,2010:tracks/777772228Value At Risk Financial Risk Management In PythonTue, 17 Mar 2020 18:33:25 +0000
https://soundcloud.com/user-999788412/value-at-risk-financial-risk-management-in-python
00:02:17Harbourfront TechnologiesnoValue at risk (VaR) is a measure of the risk of loss for investments. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. The method presented in this post is suitable for calculating the VaR in a normal market condition. More advanced approaches such as Expected Tail Loss have been developed that can better take into account the tail risk.
http://tech.harbourfronts.com/risk-management/value-risk-financial-risk-management-python/Value at risk (VaR) is a measure of the risk of l…Value at risk (VaR) is a measure of the risk of loss for investments. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. The method presented in this post is suitable for calculating the VaR in a normal market condition. More advanced approaches such as Expected Tail Loss have been developed that can better take into account the tail risk.
http://tech.harbourfronts.com/risk-management/value-risk-financial-risk-management-python/tag:soundcloud,2010:tracks/756667831Valuing European Options Using Monte Carlo Simulation- Derivative Pricing in PythonFri, 07 Feb 2020 14:48:10 +0000
https://soundcloud.com/user-999788412/valuing-european-options-using-monte-carlo-simulation-derivative-pricing-in-python
00:02:08Harbourfront TechnologiesnoTo price the options, we first simulate the price paths using the following Stochastic Differential Equation. The simulation is carried out until the options’ maturity. We then apply the terminal payoff functions and calculate the mean values of all the payoffs. Finally, we discount the mean values to the present and thus obtain the option values.
http://tech.harbourfronts.com/derivatives/valuing-european-options-using-monte-carlo-simulation-derivative-pricing-python/To price the options, we first simulate the price…To price the options, we first simulate the price paths using the following Stochastic Differential Equation. The simulation is carried out until the options’ maturity. We then apply the terminal payoff functions and calculate the mean values of all the payoffs. Finally, we discount the mean values to the present and thus obtain the option values.
http://tech.harbourfronts.com/derivatives/valuing-european-options-using-monte-carlo-simulation-derivative-pricing-python/tag:soundcloud,2010:tracks/753313426Black - Scholes - Merton Option Pricing Model - Derivative Pricing In PythonSat, 01 Feb 2020 15:26:23 +0000
https://soundcloud.com/user-999788412/black-scholes-merton-option-pricing-model-derivative-pricing-in-python
00:01:45Harbourfront TechnologiesnoIn this post, we focus on the implementation of the Black-Scholes-Merton option pricing model in Python. Closed-form formula for European call and put are implemented in a Python code. We compare the results to the ones obtained by using third-party software and notice that they are in good agreement.
http://tech.harbourfronts.com/derivatives/black-scholes-merton-option-pricing-model-derivative-pricing-python/In this post, we focus on the implementation of t…In this post, we focus on the implementation of the Black-Scholes-Merton option pricing model in Python. Closed-form formula for European call and put are implemented in a Python code. We compare the results to the ones obtained by using third-party software and notice that they are in good agreement.
http://tech.harbourfronts.com/derivatives/black-scholes-merton-option-pricing-model-derivative-pricing-python/tag:soundcloud,2010:tracks/735636001Valuing A Convertible Bond - Derivative Pricing In PythonMon, 30 Dec 2019 02:22:04 +0000
https://soundcloud.com/user-999788412/valuing-a-convertible-bond-derivative-pricing-in-python
00:01:45Harbourfront TechnologiesnoIn a previous post, we presented a theoretical framework for pricing convertible bonds and preferred shares. We also provided an example of pricing a convertible bond in Excel. In this installment, we present an example of pricing a convertible bond in Python.
http://tech.harbourfronts.com/derivatives/valuing-convertible-bond-derivative-pricing-python/In a previous post, we presented a theoretical fr…In a previous post, we presented a theoretical framework for pricing convertible bonds and preferred shares. We also provided an example of pricing a convertible bond in Excel. In this installment, we present an example of pricing a convertible bond in Python.
http://tech.harbourfronts.com/derivatives/valuing-convertible-bond-derivative-pricing-python/tag:soundcloud,2010:tracks/732035980How Will Negative Interest Rates Affect Derivative Pricing Models?Sat, 21 Dec 2019 20:59:17 +0000
https://soundcloud.com/user-999788412/how-will-negative-interest-rates-affect-derivative-pricing-models
00:02:59Harbourfront TechnologiesnoAs negative interest rates started popping up around the world, quantitative analysts and traders have been asking a mundane but fundamental question: How to price trillions of dollars of financial instruments when their complex pricing models don’t work with negative numbers?
http://tech.harbourfronts.com/derivatives/how-negative-interest-rates-affect-derivative-pricing-models/As negative interest rates started popping up aro…As negative interest rates started popping up around the world, quantitative analysts and traders have been asking a mundane but fundamental question: How to price trillions of dollars of financial instruments when their complex pricing models don’t work with negative numbers?
http://tech.harbourfronts.com/derivatives/how-negative-interest-rates-affect-derivative-pricing-models/tag:soundcloud,2010:tracks/637539225A Simple Hedging System with Time ExitSun, 16 Jun 2019 17:15:04 +0000
https://soundcloud.com/user-999788412/a-simple-hedging-system-with-time-exit
00:02:00Harbourfront TechnologiesnoThis installment is a follow-up to the previous one on a simple system for hedging long exposure during a market downturn. It was inspired by a research paper on the power-law behaviour of the equity indices.
http://blog.harbourfronts.com/2018/07/27/simple-hedging-system-time-exit/This installment is a follow-up to the previous o…This installment is a follow-up to the previous one on a simple system for hedging long exposure during a market downturn. It was inspired by a research paper on the power-law behaviour of the equity indices.
http://blog.harbourfronts.com/2018/07/27/simple-hedging-system-time-exit/tag:soundcloud,2010:tracks/633691944VIX Mean Reversion After a Volatility SpikeSat, 08 Jun 2019 17:02:39 +0000
https://soundcloud.com/user-999788412/vix-mean-reversion-after-a-volatility-spike
00:02:20Harbourfront TechnologiesnoPreviously we showed that the spot volatility index, VIX, has a strong mean reverting tendency. In this follow-up installment we’re going to further investigate the mean reverting properties of the VIX. Our primary goal is to use this study in order to aid options traders in positioning or hedging their portfolios.
http://blog.harbourfronts.com/2018/04/29/vix-mean-reversion-volatility-spike/Previously we showed that the spot volatility ind…Previously we showed that the spot volatility index, VIX, has a strong mean reverting tendency. In this follow-up installment we’re going to further investigate the mean reverting properties of the VIX. Our primary goal is to use this study in order to aid options traders in positioning or hedging their portfolios.
http://blog.harbourfronts.com/2018/04/29/vix-mean-reversion-volatility-spike/tag:soundcloud,2010:tracks/630055119A Simple System For Hedging Long PortfoliosSat, 01 Jun 2019 15:57:48 +0000
https://soundcloud.com/user-999788412/a-simple-system-for-hedging-long-portfolios
00:02:41Harbourfront TechnologiesnoWe present a trading system with the goal of using it as a hedge for long equity exposure. To this end, we test a simple, short-only momentum system.
http://blog.harbourfronts.com/2018/03/31/simple-system-hedging-long-portfolios/We present a trading system with the goal of usin…We present a trading system with the goal of using it as a hedge for long equity exposure. To this end, we test a simple, short-only momentum system.
http://blog.harbourfronts.com/2018/03/31/simple-system-hedging-long-portfolios/tag:soundcloud,2010:tracks/626429508Is a 4% Down Day a Black Swan?Sat, 25 May 2019 15:13:24 +0000
https://soundcloud.com/user-999788412/is-a-4-down-day-a-black-swan
00:01:01Harbourfront TechnologiesnoIn February of last year , the SP500 experienced a drop of 4% in a day. We ask ourselves the question: is a one-day 4% drop a common occurrence?
http://blog.harbourfronts.com/2018/02/28/4-day-black-swan/In February of last year , the SP500 experienced …In February of last year , the SP500 experienced a drop of 4% in a day. We ask ourselves the question: is a one-day 4% drop a common occurrence?
http://blog.harbourfronts.com/2018/02/28/4-day-black-swan/tag:soundcloud,2010:tracks/622738074Mean Reverting and Trending Properties of SPX and VIXSat, 18 May 2019 18:36:06 +0000
https://soundcloud.com/user-999788412/mean-reverting-and-trending-properties-of-spx-and-vix
00:01:56Harbourfront TechnologiesnoIn the previous post, we looked at some statistical properties of the empirical distributions of spot SPX and VIX. In this post, we are going to investigate the mean reverting and trending properties of these indices. To do so, we are going to calculate their Hurst exponents.
http://blog.harbourfronts.com/2017/12/29/mean-reverting-trending-properties-spx-vix/In the previous post, we looked at some statistic…In the previous post, we looked at some statistical properties of the empirical distributions of spot SPX and VIX. In this post, we are going to investigate the mean reverting and trending properties of these indices. To do so, we are going to calculate their Hurst exponents.
http://blog.harbourfronts.com/2017/12/29/mean-reverting-trending-properties-spx-vix/tag:soundcloud,2010:tracks/616209414Statistical Distributions of the Volatility IndexSun, 05 May 2019 21:48:51 +0000
https://soundcloud.com/user-999788412/statistical-distributions-of-the-volatility-index
00:01:54Harbourfront TechnologiesnoVIX related products (exchange traded notes, futures and options) are becoming popular financial instruments for both hedging and speculation. The volatility index VIX was developed in the early 90’s. In its early days, it led the derivative markets. Today the dynamics has changed. Now there is strong evidence that the VIX futures market leads the cash index. In this installment we are going to look at some statistical properties of the spot VIX index. We used data from January 1990 to May 2017.
http://blog.harbourfronts.com/2017/11/30/statistical-distributions-volatility-index/VIX related products (exchange traded notes, futu…VIX related products (exchange traded notes, futures and options) are becoming popular financial instruments for both hedging and speculation. The volatility index VIX was developed in the early 90’s. In its early days, it led the derivative markets. Today the dynamics has changed. Now there is strong evidence that the VIX futures market leads the cash index. In this installment we are going to look at some statistical properties of the spot VIX index. We used data from January 1990 to May 2017.
http://blog.harbourfronts.com/2017/11/30/statistical-distributions-volatility-index/tag:soundcloud,2010:tracks/612689226Are Short Out-of-the-Money Put Options Risky? Part 2: Dynamic CaseSun, 28 Apr 2019 16:38:34 +0000
https://soundcloud.com/user-999788412/are-short-out-of-the-money-put-options-risky-part-2-dynamic-case
00:02:07Harbourfront TechnologiesnoThis installment is the continuation of the previous one on the riskiness of out-of-the-money vs. at-the-money short put options and the effect of leverage on the risk measures. Here we’re going to perform similar studies with the only exception that from inception until maturity the short options are dynamically hedged. The simulation methodology and parameters are the same as in the previous study.
http://blog.harbourfronts.com/2017/09/28/short-money-put-options-risky-part-2-dynamic-case/This installment is the continuation of the previ…This installment is the continuation of the previous one on the riskiness of out-of-the-money vs. at-the-money short put options and the effect of leverage on the risk measures. Here we’re going to perform similar studies with the only exception that from inception until maturity the short options are dynamically hedged. The simulation methodology and parameters are the same as in the previous study.
http://blog.harbourfronts.com/2017/09/28/short-money-put-options-risky-part-2-dynamic-case/tag:soundcloud,2010:tracks/611223225Are Short Out-of-the-Money Put Options Risky?Thu, 25 Apr 2019 14:29:46 +0000
https://soundcloud.com/user-999788412/are-short-out-of-the-money-put-options-risky
00:03:05Harbourfront TechnologiesnoWe quantify and compare the risks of short out-of-the-money and at-the-money put options. We do so by performing Monte Carlo simulations and calculating the Value at Risk (VaR at 95% confidence interval) and variance of the return distribution.
http://blog.harbourfronts.com/2017/08/23/are-short-out-of-the-money-put-options-risky/We quantify and compare the risks of short out-of…We quantify and compare the risks of short out-of-the-money and at-the-money put options. We do so by performing Monte Carlo simulations and calculating the Value at Risk (VaR at 95% confidence interval) and variance of the return distribution.
http://blog.harbourfronts.com/2017/08/23/are-short-out-of-the-money-put-options-risky/tag:soundcloud,2010:tracks/610229778Using a Market Timing Rule to Size an Option Position, A Static CaseTue, 23 Apr 2019 14:38:50 +0000
https://soundcloud.com/user-999788412/using-a-market-timing-rule-to-size-an-option-position-a-static-case
00:02:27Harbourfront TechnologiesnoIn the previous installment, we discussed the use of a popular market timing rule to size a short option position. The strategy did not work well as it was the case in traditional asset allocation. As a follow up, we will apply the 10M SMA rule to a static, unhedged position.
http://blog.harbourfronts.com/2017/06/30/using-market-timing-rule-size-option-position-static-case/In the previous installment, we discussed the use…In the previous installment, we discussed the use of a popular market timing rule to size a short option position. The strategy did not work well as it was the case in traditional asset allocation. As a follow up, we will apply the 10M SMA rule to a static, unhedged position.
http://blog.harbourfronts.com/2017/06/30/using-market-timing-rule-size-option-position-static-case/tag:soundcloud,2010:tracks/609080274Volatility Trading Strategies, a Comparison of Volatility Risk Premium and Roll Yield StrategiesSun, 21 Apr 2019 00:22:13 +0000
https://soundcloud.com/user-999788412/volatility-trading-strategies-a-comparison-of-volatility-risk-premium-and-roll-yield-strategies
00:02:25Harbourfront TechnologiesnoWe previously presented 2 volatility trading strategies: one strategy is based on the volatility risk premium and the other on the volatility term structure, or roll yield. Here we present a detailed comparison of these 2 strategies and analyze their performance.
http://blog.harbourfronts.com/2016/12/20/volatility-trading-strategies-a-comparison-of-volatility-risk-premium-and-roll-yield-strategies/We previously presented 2 volatility trading stra…We previously presented 2 volatility trading strategies: one strategy is based on the volatility risk premium and the other on the volatility term structure, or roll yield. Here we present a detailed comparison of these 2 strategies and analyze their performance.
http://blog.harbourfronts.com/2016/12/20/volatility-trading-strategies-a-comparison-of-volatility-risk-premium-and-roll-yield-strategies/tag:soundcloud,2010:tracks/608417427Using a Market Timing Rule to Size an Option PositionFri, 19 Apr 2019 16:14:40 +0000
https://soundcloud.com/user-999788412/using-a-market-timing-rule-to-size-an-option-position
00:03:11Harbourfront TechnologiesnoPosition sizing and portfolio allocation have not received much attention in the options trading community. Here, we are going to apply a simple position sizing rule and see how it performs within the context of volatility trading.
http://blog.harbourfronts.com/2017/04/30/use-market-timing-rule-size-option-position/Position sizing and portfolio allocation have not…Position sizing and portfolio allocation have not received much attention in the options trading community. Here, we are going to apply a simple position sizing rule and see how it performs within the context of volatility trading.
http://blog.harbourfronts.com/2017/04/30/use-market-timing-rule-size-option-position/tag:soundcloud,2010:tracks/607416387Stationarity and Autocorrelation Functions of VXX-Time Series Analysis in PythonWed, 17 Apr 2019 16:48:53 +0000
https://soundcloud.com/user-999788412/stationarity-and-autocorrelation-functions-of-vxx-time-series-analysis-in-python
00:02:18Harbourfront TechnologiesnoIn the previous post, we presented a system for trading VXX, a volatility Exchange Traded Note. The trading system was built based on simple moving averages. In this post, we are going to examine the time series properties of VXX in more details.
http://tech.harbourfronts.com/trading/stationarity-autocorrelation-functions-vxx-time-series-analysis-python/In the previous post, we presented a system for t…In the previous post, we presented a system for trading VXX, a volatility Exchange Traded Note. The trading system was built based on simple moving averages. In this post, we are going to examine the time series properties of VXX in more details.
http://tech.harbourfronts.com/trading/stationarity-autocorrelation-functions-vxx-time-series-analysis-python/tag:soundcloud,2010:tracks/606264102Differences Between the VIX Index and At-the-Money Implied VolatilityMon, 15 Apr 2019 11:40:57 +0000
https://soundcloud.com/user-999788412/differencesbetweenvixindexandat-the-moneyimpliedvolatility
00:02:14Harbourfront TechnologiesnoWhen trading options, we often use the volatility index, VIX, as a measure of volatility in order to enter and manage positions. This works most of the time. However, there exist some differences between the VIX index and at-the-money implied volatility. In this post, we are going to show such a difference through an example. Specifically, we study the relationship between the implied volatility and forward realized volatility of the SP500
http://blog.harbourfronts.com/2019/03/28/differences-vix-index-money-implied-volatility/When trading options, we often use the volatility…When trading options, we often use the volatility index, VIX, as a measure of volatility in order to enter and manage positions. This works most of the time. However, there exist some differences between the VIX index and at-the-money implied volatility. In this post, we are going to show such a difference through an example. Specifically, we study the relationship between the implied volatility and forward realized volatility of the SP500
http://blog.harbourfronts.com/2019/03/28/differences-vix-index-money-implied-volatility/tag:soundcloud,2010:tracks/605809566Is Asset Dynamics Priced In Correctly by Black-Scholes-Merton Model?Sun, 14 Apr 2019 12:17:51 +0000
https://soundcloud.com/user-999788412/s-asset-dynamics-priced-in-correctly-by-black-scholes-merton-model
00:02:10Harbourfront TechnologiesnoA lot of research has been devoted to answering the question: do options price in the volatility risks correctly? The most noteworthy phenomenon (or bias) is called the volatility risk premium, i.e. options implied volatilities tend to overestimate future realized volatilities. Much less attention is paid, however, to the underlying asset dynamics, i.e. to answering the question: do options price in the asset dynamics correctly?
http://blog.harbourfronts.com/2018/12/31/asset-dynamics-priced-correctly-black-scholes-merton-model/A lot of research has been devoted to answering t…A lot of research has been devoted to answering the question: do options price in the volatility risks correctly? The most noteworthy phenomenon (or bias) is called the volatility risk premium, i.e. options implied volatilities tend to overestimate future realized volatilities. Much less attention is paid, however, to the underlying asset dynamics, i.e. to answering the question: do options price in the asset dynamics correctly?
http://blog.harbourfronts.com/2018/12/31/asset-dynamics-priced-correctly-black-scholes-merton-model/tag:soundcloud,2010:tracks/605378490Merton Model for Credit Risk Management and a Case StudySat, 13 Apr 2019 12:14:37 +0000
https://soundcloud.com/user-999788412/merton-model-for-credit-risk-management-and-a-case-study
00:02:17Harbourfront TechnologiesnoRobert Merton published a seminal paper that laid the foundation for the development of structural credit risk models. We’re going to provide an example of how it can be used for managing credit risks. We are going to present a case study based on the Merton credit risk model.
http://tech.harbourfronts.com/risk-management/merton-credit-risk-model-case-study/Robert Merton published a seminal paper that lai…Robert Merton published a seminal paper that laid the foundation for the development of structural credit risk models. We’re going to provide an example of how it can be used for managing credit risks. We are going to present a case study based on the Merton credit risk model.
http://tech.harbourfronts.com/risk-management/merton-credit-risk-model-case-study/tag:soundcloud,2010:tracks/604929297Valuation of European and American Options in PythonFri, 12 Apr 2019 13:23:56 +0000
https://soundcloud.com/user-999788412/valuation-of-european-and-american-options-in-python
00:01:35Harbourfront TechnologiesnoWe have provided examples of pricing European and American options in Excel. For pricing the European option, we utilized the Black-Scholes formula, and for pricing the American option we utilized the binomial approach. Here, we are going to implement these methods in Python.
http://tech.harbourfronts.com/derivatives/valuation-european-american-options-derivative-pricing-python/We have provided examples of pricing European and…We have provided examples of pricing European and American options in Excel. For pricing the European option, we utilized the Black-Scholes formula, and for pricing the American option we utilized the binomial approach. Here, we are going to implement these methods in Python.
http://tech.harbourfronts.com/derivatives/valuation-european-american-options-derivative-pricing-python/tag:soundcloud,2010:tracks/604405770Interest Rate Swap-Derivative Pricing in PythonThu, 11 Apr 2019 14:21:59 +0000
https://soundcloud.com/user-999788412/interest-rate-swap-derivative-pricing-in-python
00:02:32Harbourfront TechnologiesnoWe are going to provide an example of interest rate swap pricing in Python. We are going to use the USD Libor swap curve as at December 31 2018. Note that we utilize the deposit and swap rates only and ignore the futures prices in the bootstrapping process. The values of the fixed, floating legs and the interest rate swap are calculated using a Python program.
http://tech.harbourfronts.com/derivatives/interest-rate-swap-derivative-pricing-python/We are going to provide an example of interest ra…We are going to provide an example of interest rate swap pricing in Python. We are going to use the USD Libor swap curve as at December 31 2018. Note that we utilize the deposit and swap rates only and ignore the futures prices in the bootstrapping process. The values of the fixed, floating legs and the interest rate swap are calculated using a Python program.
http://tech.harbourfronts.com/derivatives/interest-rate-swap-derivative-pricing-python/tag:soundcloud,2010:tracks/603870027Weighted Average Cost of Capital (WACC)-Business Valuation Calculator in ExcelWed, 10 Apr 2019 13:45:20 +0000
https://soundcloud.com/user-999788412/weighted-average-cost-of-capital-wacc-business-valuation-calculator-in-excel
00:02:05Harbourfront TechnologiesnoThe weighted average cost of capital (WACC) is the rate that a company is expected to pay on average to all its security holders to finance its assets. The WACC is commonly referred to as the firm's cost of capital. For illustration purposes, we are going to calculate the WACC of Barrick Gold, a major Canadian mining company.
http://tech.harbourfronts.com/derivatives/weighted-average-cost-of-capital-wacc-business-valuation-calculator-in-excel/The weighted average cost of capital (WACC) is th…The weighted average cost of capital (WACC) is the rate that a company is expected to pay on average to all its security holders to finance its assets. The WACC is commonly referred to as the firm's cost of capital. For illustration purposes, we are going to calculate the WACC of Barrick Gold, a major Canadian mining company.
http://tech.harbourfronts.com/derivatives/weighted-average-cost-of-capital-wacc-business-valuation-calculator-in-excel/tag:soundcloud,2010:tracks/603463077Derivative Valuation-How to Price a Convertible BondTue, 09 Apr 2019 18:15:45 +0000
https://soundcloud.com/user-999788412/derivative-valuation-how-to-price-a-convertible-bond
00:03:18Harbourfront TechnologiesnoA convertible bond (or preferred share) is a hybrid security, part debt and part equity. Its valuation is derived from both the level of interest rates and the price of the underlying equity. Several modeling approaches are available to value these complex hybrid securities such as Binomial Tree, Partial Differential Equation and Monte Carlo simulation. One of the earliest approaches was the Binomial Tree model originally developed by Goldman Sachs and this model allows for an efficient implementation with high accuracy.
http://tech.harbourfronts.com/derivatives/derivative-valuation-how-to-price-a-convertible-bond/A convertible bond (or preferred share) is a hybr…A convertible bond (or preferred share) is a hybrid security, part debt and part equity. Its valuation is derived from both the level of interest rates and the price of the underlying equity. Several modeling approaches are available to value these complex hybrid securities such as Binomial Tree, Partial Differential Equation and Monte Carlo simulation. One of the earliest approaches was the Binomial Tree model originally developed by Goldman Sachs and this model allows for an efficient implementation with high accuracy.
http://tech.harbourfronts.com/derivatives/derivative-valuation-how-to-price-a-convertible-bond/tag:soundcloud,2010:tracks/602773764Valuing a Fixed Rate Bond-Derivative Pricing in PythonMon, 08 Apr 2019 13:05:29 +0000
https://soundcloud.com/user-999788412/valuing-a-fixed-rate-bond-derivative-pricing-in-python
00:01:56Harbourfront TechnologiesnoDebt instruments are an important part of the capital market. In this post, we are going to provide an example of pricing a fixed-rate bond. We are going to price a hypothetical bond as at October 31, 2018. We first build a zero coupon curve, then use it to price a hypothetical fixed rate bond.
http://tech.harbourfronts.com/derivatives/valuing-fixed-rate-bond-derivative-pricing-python/Debt instruments are an important part of the cap…Debt instruments are an important part of the capital market. In this post, we are going to provide an example of pricing a fixed-rate bond. We are going to price a hypothetical bond as at October 31, 2018. We first build a zero coupon curve, then use it to price a hypothetical fixed rate bond.
http://tech.harbourfronts.com/derivatives/valuing-fixed-rate-bond-derivative-pricing-python/tag:soundcloud,2010:tracks/602509326Interest Rate Swap-Derivative Pricing in ExcelSun, 07 Apr 2019 22:00:57 +0000
https://soundcloud.com/user-999788412/interest-rate-swap-derivative-pricing-in-excel
00:02:09Harbourfront TechnologiesnoAn interest rate swap is a financial derivative instrument that involves an exchange of a fixed interest rate for a floating interest rate. Interest rate swaps are often used to hedge the fluctuation in the interest rate. To value an interest rate swap, fixed and floating legs are priced separately using the discounted cash flow approach.
http://tech.harbourfronts.com/derivatives/interest-rate-swap-derivative-pricing-excel/An interest rate swap is a financial derivative i…An interest rate swap is a financial derivative instrument that involves an exchange of a fixed interest rate for a floating interest rate. Interest rate swaps are often used to hedge the fluctuation in the interest rate. To value an interest rate swap, fixed and floating legs are priced separately using the discounted cash flow approach.
http://tech.harbourfronts.com/derivatives/interest-rate-swap-derivative-pricing-excel/tag:soundcloud,2010:tracks/601875174Valuing an American Option Using Binomial Tree-Derivative Pricing in ExcelSat, 06 Apr 2019 13:54:41 +0000
https://soundcloud.com/user-999788412/valuing-an-american-option-using-binomial-tree-derivative-pricing-in-excel
00:02:41Harbourfront TechnologiesnoWe’re going to use the binomial pricing model to value an American equity option. Essentially, the model uses a “discrete-time” model of the varying price over time of the underlying financial instrument. Valuation is performed iteratively, starting at each of the final nodes, and then working backwards through the tree towards the first node.
http://tech.harbourfronts.com/derivatives/valuing-american-option-using-binomial-tree-derivative-pricing-excel/We’re going to use the binomial pricing model to …We’re going to use the binomial pricing model to value an American equity option. Essentially, the model uses a “discrete-time” model of the varying price over time of the underlying financial instrument. Valuation is performed iteratively, starting at each of the final nodes, and then working backwards through the tree towards the first node.
http://tech.harbourfronts.com/derivatives/valuing-american-option-using-binomial-tree-derivative-pricing-excel/tag:soundcloud,2010:tracks/601423323Valuing an American Option Using Barone-Andesi-Whaley ApproximationFri, 05 Apr 2019 14:57:04 +0000
https://soundcloud.com/user-999788412/valuing-an-american-option-using-barone-andesi-whaley-approximation
00:02:44Harbourfront TechnologiesnoWe are going to provide an example of valuing American options. We’re going to use the Barone-Andesi-Whaley approximation. The Barone-Adesi and Whaley Model has the advantages of being fast, accurate and inexpensive to use. It is most accurate for options that will expire in less than one year.
http://tech.harbourfronts.com/derivatives/valuing-american-option-derivative-pricing-excel/We are going to provide an example of valuing Ame…We are going to provide an example of valuing American options. We’re going to use the Barone-Andesi-Whaley approximation. The Barone-Adesi and Whaley Model has the advantages of being fast, accurate and inexpensive to use. It is most accurate for options that will expire in less than one year.
http://tech.harbourfronts.com/derivatives/valuing-american-option-derivative-pricing-excel/tag:soundcloud,2010:tracks/601363647Valuing a European Option-Derivative Pricing in ExcelFri, 05 Apr 2019 12:21:09 +0000
https://soundcloud.com/user-999788412/valuing-a-european-option-derivative-pricing-in-excel
00:02:47Harbourfront TechnologiesnoWe’re going to price a put option on Barrick Gold, a Canadian mining company publicly traded on the Toronto Stock Exchange under the symbol ABX.TO. For this exercise, we assume that the option is of European style with a strike price of $13. (American style option will be dealt with in the next installment). The option expires in 3 years, and the valuation date is August 22, 2018.
http://tech.harbourfronts.com/derivatives/valuing-european-option/We’re going to price a put option on Barrick Gold…We’re going to price a put option on Barrick Gold, a Canadian mining company publicly traded on the Toronto Stock Exchange under the symbol ABX.TO. For this exercise, we assume that the option is of European style with a strike price of $13. (American style option will be dealt with in the next installment). The option expires in 3 years, and the valuation date is August 22, 2018.
http://tech.harbourfronts.com/derivatives/valuing-european-option/tag:soundcloud,2010:tracks/601138977A Volatility Trading System in PythonThu, 04 Apr 2019 23:45:58 +0000
https://soundcloud.com/user-999788412/a-volatility-trading-system-in-python
00:01:52Harbourfront TechnologiesnoTime series analysis is an important subject in finance. In this post, we are going to apply a time series technique to a financial time series and develop an investment strategy. Specifically, we are going to use moving averages to trade volatility Exchange Traded Notes or ETN.
http://tech.harbourfronts.com/trading/volatility-trading-system-time-series-analysis-python/Time series analysis is an important subject in f…Time series analysis is an important subject in finance. In this post, we are going to apply a time series technique to a financial time series and develop an investment strategy. Specifically, we are going to use moving averages to trade volatility Exchange Traded Notes or ETN.
http://tech.harbourfronts.com/trading/volatility-trading-system-time-series-analysis-python/