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 […]
In the previous posts, we saw that it is easy to create a PDE solver for pricing options. But, what happens if one likes to price more complex structures like convertible bonds or variable annuities?
A good library design requires a separation of the functionality into modules with an appropriate API. The size of the modules is determined by the application. While for a simple trading application a good API might contain everything from fitting the stochastic processes to pricing an option under a single function, this is completely insufficient for assessing model […]
One of the most popular portfolio protection trading strategies is the Constant Proportion Portfolio Insurance (CPPI). This strategy maximizes the exposure in stock at each rebalancing time while ensuring that the portfolio level never drops under the so-called floor. Modeling Financial Transaction Tax The currently proposed financial transaction tax is nothing else than a proportional […]
Often, it is required to run multiple similar simulation models, e.g. for computation of Greeks like Delta, Gamma, Vega, etc. Another reason for multiple calls is that one wants to estimate the accuracy of a pricing. Using the Matlab Parallel Toolbox, this can be accelerated substantially.
In the previous post, we saw how to backtest a quantitative trading strategy. The result was, that we suspected that we should be able to find better constants for the MACD trading signal strategy. Now, we will use Matlab and Theta Suite in order to create an efficient optimization. Furthermore, we create a simple visualization […]
Many popular quantitative trading strategies are public for quite a while. Now, if you like to utilize such a strategy with real money, you must make sure that your strategy performs well. For simple strategies, MS Excel is perfect for this task. But, since we would like to use an optimization and a specific visualization […]
Since version 2008a, the Matlab m-language is extended to include some object orientation. This object-oriented programming style allows reuse, inheritance, encapsulation, and reference behavior. Example The following m-code is a generic abstract class for implementing classes which generate processes accessible in ThetaML. The object following class generates a Geometric Brownian Motion. This process can be accessed in […]
A brilliant website is the perfect example for user friendly interactive data visualization: Gapminder. This website presents statistical data about the countries of the world and how it changes in time. A user-friendly AJAX user interface allows you to get gain new insights exploring this data. They have done a great job. Google bought this […]
One of the simple models which lead to chaos is the logistic growth process. Using ThetaML, a technology designed for modeling and analyzing stochastic processes, we can implement a very short logistic growth model and get more insight than usual. Logistic growth model Suppose, we insert a simple logistic model: This can be done in […]
Computer Aided Finance - Excel, Matlab, Theta Suite etc. 