Lately I have been involved in organising forecasting competition for undergraduate students. The obvious goal is to find someone with forecasting power who would potentially be interested in internship or graduate scheme. Recently, I asked a few people from quant and forecasting teams to try the task out in order ... [Read more...]

Lately I have been involved in organising forecasting competition for undergraduate students. The obvious goal is to find someone with forecasting power who would potentially be interested in internship or graduate scheme. Recently, I asked a few people from quant and forecasting teams to try the task out in order ... [Read more...]

As I was studying volatility derivatives I made some charts that represent some key features of replication. Say variance swap has a payoff function \(f=(\sigma^2 - K_{VOL}) \), which means that \(K_{VOL}\) will most likely be the forward volatility cl... [Read more...]

As I was studying volatility derivatives I made some charts that represent some key features of replication. Say variance swap has a payoff function \(f=(\sigma - K_{VOL}) \), which means that \(K_{VOL}\) will most likely be the forward volatility clos... [Read more...]

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No vivid improvements since the last post. However, I got it to the stage, when I can share the code and let you try it yourself: https://github.com/afraid2trade/SCENARIO_ANALYSIS.git Once you downloaded it, the only thing you need to open is "sa_work... [Read more...]

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