In option pricing, two technical terms often create confusion. One term is “risk-neutral” and the other “real-word”. You hear these terms in the context of option pricing, backtesting, risk management and hedging. In this article I try to clarify the terminology. Background First, we start with “risk-neutral”. The term risk-neutral refers to option pricing: The […]
Archives for March, 2012
In the last decade, gold constantly rose in value. In this post, we will use public data to look into the value relationship of gold and money. Value of gold measured in different currencies Gold is definitely one of the oldest currencies. Until 1971, USD and gold were essentially the same using a fixed conversion rate. […]
Monte-Carlo simulation is a very import tool for assessing all kinds of risks and chances. It it widely used in project management, option pricing and business valuation. Often, the input data and the reporting should be placed in MS Excel. This article presents the different options available for combining Monte-Carlo simulation and MS Excel.
The Cost of Redundancy Expensive resources spent on computer grids are often wasted. An example from the financial industry teaches how repeated and redundant calculations can eat up all the computing power. Theta Proxy, a simple and yet generic solution, has the potential to save millions in server costs. Nowadays much of the computation time […]