Recent Articles

Post Crisis Financial Modelling – What changes?

I recently stumbled upon an interesting book about post-crisis interest-rate modelling. Besides future changes in the LIBOR and possible EURIBOR fixing after the manipulations of the past few years, counter-party default and collateral become important. Changes in Interest-Rate and Credit Instrument Pricing Pre-crisis, there was a risk-free rate on which the market agreed. This way, different […]

What is Historical Volatility and Why Do We Need Implied Volatilities?

Chart of VDAX and DAX volatility

Looking at financial instruments, one often finds the term implied volatility. In this post, we want to describe what it is and what you can do with it. We start refreshing the term historical volatility and then we explain the implied volatility. An example of German DAX with real data concludes this post. Historical Volatility […]

UI Revolution in MATLAB 8 (R2012b): Is It Worth an Update?

Screenshot of Matlab 8 (R2012b)

Finally, after at least 13 years of slow GUI evolution from MATLAB 5, The MathWorks decides to break with the past and offer a graphical revolution for MATLAB 8. MATLAB 8 – R2012b comes with a fresh ribbon style GUI known from MS Office. Another interesting change is the publishing of so-called Apps. After Apple and […]

Is Windows 8 good for Business Users, esp. Quants?

Being member of the MSDN, I just installed and tested the new Windows 8, Office 2013 and Visual Studio 2012. The step in MS Windows evolution is actually quite big and in the following, you find my first impression.

What is Model Risk and What Can I Do About it?

Falling Tower of Bricks

Model risk is the risk that the market models in investment banking do not properly reflect the reality. This risk is often neglected or simply ignored. But, it is one of the most important risks as we could see in the mispricing of CDO, ABS, MBS etc at the beginning of the financial crisis (early […]

MATLAB GPU toolbox: PCT, GPUMat and Jacket revisted

In my last benchmark of the MATLAB GPU toolboxes, I compared PCT from The MathWorks, Jacket from Accelereyes and GPUMat from GPYou. I now updated theses results with new hardware and new some more optimized code. Previously, we used a GeForce GTX 275. Now, we also use the GeForce GTX 520 Ti. On this hardware, […]

Is there an esay way to get public web data into Excel ?

There are many free data sources: In a previous post, I published a list a free market data sources. Now, I would like to point you to an interesting project: WIKIPOSIT. This project aggregates many data sources such that you can access market data and other statistics with a simple API. Or, you can export […]

SeeMore: A Struct Viewer for the MATLAB console

Everything to String? How the simple MATLAB script “seemore” can cure the curse of the console. For about 50 years programmers had learned to love their monospaced console output. For log files, debugging output or even regular results hardly anything could seriously challenge the text console as the primary output of choice. However, a new feature […]

Matlab GPU toolbox: Benchmarking Accelereyes vs. MathWorks vs. GP-YOU?

Graphics Card

There is a great option for speed-up of your Matlab code: Use your graphics card. If you have an Nvidia graphics card, there is a whole universe of optimized code for these cards. The underlying technology is called CUDA and many of the required functions for a transparent usage from Matlab already exist. There are […]

Feedback: What is the Effect of Hedging Options on the Underlying?

Plot from Theta Suite Result Explorer

More and more investors insist on guarantees on the investments. Theses investments are often created using options or dynamic strategies like CPPI. Recently, these strategies were made available in secularized form: Leveraged Exchange Traded Funds   (LETF) and Exchange Traded Notes (ETN). Also, life insurance instruments often include guarantees on funds like Variable Annuities. In this […]