Monte Carlo simulations. Part 2: GBM
08 May 2007
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Quantitative analysis is the lanuage of finance. The section is about probabilities, statistics, calculus, volatility, bond math and various other fundamental techniques.
Chalk Talk Blog
Specify & test an econometric model (Quant: Econometrics)
31 Jul 2008
Learning objective: Explain the process of specifying, interpreting, and validity testing an econometric model To specify the model, we should first examine the scattergram (or scatter diagram). As a first approximation, can we draw (visualize) a …
Monte Carlo simulations. Part 1: Process
07 May 2007
Forecasting volatility with GARCH
03 May 2007
Long run variance in GARCH(1,1)
26 Apr 2007
Persistence and long-run volatility
25 Apr 2007
Persistence in GARCH(1,1)
24 Apr 2007
Covariance and Correlation
12 Apr 2007
Approaches to current volatility
11 Apr 2007
Asset returns: like a stegosaurus or a T-Rex?
09 Apr 2007
Contango
12 Mar 2007
Fido helps explain Bayes’ Formula
26 Feb 2007
Price levels versus Price returns
21 Feb 2007
Themes in risk: error avoidance
20 Feb 2007
Fido explains Type I & Type II Errors
18 Feb 2007
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