The most dominating factor in the long run for the economy is climate change. If we do not take radical action, in 30 years, the world will lose about half a trillion US$ per year due to climate change ($479 billion). By then 150 million people have to leave their home due to sea level […]
The Green Thunderstorm The Federal Republic of Germany wants to set a good example in climate policy, but is not making any significant contribution to cooling the earth with its economic self-sacrifice. An essay on right and wrong climate policy. I find that many arguments from Hans-Werner Sinn have not been discussed properly, yet. Therefore, […]
Since I am always looking for new handy tools, I found a cool way scraping data from websites: “Magic” from import.io Ltd.
Sometimes, MATLAB seems to be slow and inefficient. MATLAB is great for prototyping and interactive analysis, but sometimes execution speed is crucial. The MathWorks proposes to vectorized your code. Recently, I found that this is not always the best solution for higher speed. A better solution comes from the sparsely documented JIT Compiler which was already introduced […]
Last time we looked at implied volatility, we found a close relationship between historical volatility and implied volatility. This time, we want to look at the relative changes of DAX and VDAX and their relationship.
On July 1st, 1988 German DAX was published. It was not only an index of the German stock market: It introduced a new methodology computing a stock market index. The German DAX was the first popular index to include weights according to market capitalization and calculating returns including dividends. Now, after 25 years it is […]
Often you find studies how well a specific fund or trading strategy has performed. You must be aware of the fact that basically all studies based on historical data lie – or at least do not tell the full story. There are two highly underestimated effects: Survivor bias and fat tails. Both effects make poor […]
Joerg Kienitz and Daniel Wetterau present “Financial Modelling: Theory, Implementation and Practice with MATLAB Source”, a great resource on state-of-the-art models in financial mathematics. The authors try to bridge the gap between current research topics and an implementation which can be applied in the real world. That means the authors are neither afraid of practical […]
Thank you all for the great feedback this year. Next year will be interesting with lots of new technology and more finance focus. I always hear that cats work best in the internet. So, here is a great cats Christmas song: Merry Christmas! And a happy new year! Andreas
After benchmarking the GPU performance of Accelereyes Jacket and Matlab PCT, I found that Jacket pushes the limit to best performance much harder than PCT. Now, according to the Accelereyes Blog, The MathWorks took over Jacket. New Jacket licenses are not available any more. Consequently, for a moment, the only available options left for GPU […]
Many financial contracts come with the right of exercising a right prematurely. Such early exercise rights are a clear advantage for the option holder. But, these rights create optimal stopping problems for the contract parties. Is this really an advantage? In the following, I will show you a little example from my last shopping trip and […]
Computer Aided Finance - Excel, Matlab, Theta Suite etc. 