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Calculating option prices in your head
We all know that option prices are calculated with the Black-Scholes formula, using a volatility, time-to-maturity, strike and forward. Typically you just chuck them all into your computer and let it...
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Smile, it’s Volga!
Armed with the Hardy Decomposition for option prices, it now becomes much easier to understand why the smile exists. To be clear, options trader might use the smile to manage supply & demand, but...
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Are our models too complex?
Gillian Tett is a well-respected writer for the Financial Times and frequently picks up the topic of complexity in financial markets. In a recent article (see here) she makes a case that the era of...
View ArticleThe easy route to risk-neutral measure pricing
The principle of pricing in the risk-neutral measure is the foundation of quantitative analysis. I have already written a post which gives an intuitive description of the concept of a risk premium and...
View ArticleSetting up QuantLib in Linux
[ This is an article that I started writing a few years back, when I was experimenting with Puppy Linux, then put on hold. Much of it is still useful, so the post merits to go public. ] Having written...
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