I create videos of my presentations when I need to give the same talk multiple times, or when I cannot travel around to world to do it in person. Since making the video of a presentation is very expensive, I do not have many of those.
Videos
List of related posts:
Numerical Computation of VIX-Futures Risk Components
We describe a method to perform risk simulations of VIX futures, according to the historical-simulation model. We assume a stochastic-volatility mean- reverting constant-elasticity-of-variance process to model the VIX dynamics. Following non-arbitrage arguments the market expectation of VIX futures price results in a function of three financial variables: the spot VIX index, the long-term expected VIX […]
Linear Factor Models
Linear factor models provide a mathematical relationship between market factors and risk drivers. We provide an overview of linear models focusing on those model that allows an external definition of the market factors. We then show the numerical results for two statistical models: the ordinary least-square method and the Kalman filter.
Computation of Stress Scenarios
We propose three methods to compute simulated stress scenarios as an extension to the Statpro historical-simulation framework. We provide pricing formulas for all methods: historically inspired, risk-driver based, and factor based.
Risk Contributions in Simulations of Commodity Derivatives
It is well-known fact the importance of commodities as an asset class alternative to equities and bonds. Since more and more commodity-based derivatives are traded in the financial markets, it is important to be able to properly compute the risk for these products. We review the importance of convenience yield in commodity-derivative pricing and describe […]