Blog
High Yield Spreads and The Volatility Index - Jun 15, 2017 3:56:5 PM
VSTOXX European Volatility Exchange Traded Products: EVIX and EXIV - Jun 15, 2017 4:59:31 PM
Volatility Trading Strategies, a Comparison of Volatility Risk Premium and Roll Yield Strategies - Aug 20, 2017 5:53:17 AM
Economic Hedging is Not a Trivial Task - Aug 20, 2017 5:59:54 AM
Low Volatility is Not a New Normal - Aug 20, 2017 6:3:32 AM
Mark Cuban Created Volatility Derivatives - Aug 20, 2017 2:1:20 PM
VIX Options: Should We Buy Them When Volatility is Low? - Aug 20, 2017 7:58:0 PM
Oil Producers Stop Hedging, Who’s Right? - Aug 20, 2017 8:33:13 PM
Using a Market Timing Rule to Size an Option Position, A Static Case - Aug 21, 2017 2:12:31 PM
How Long Will Low Volatility Last? - Aug 21, 2017 7:17:17 PM
The Volatility Index VIX is Mispriced Because of Too Many Passive Investors - Aug 21, 2017 10:30:1 PM
Do Quantitative Trading Models Work? - Aug 22, 2017 3:18:39 PM
Potential Black Swans and How to Hedge Against Them - Aug 22, 2017 11:38:49 PM
Volatility of Volatility Increasing – The Story Continues - Aug 23, 2017 6:45:17 PM
VIX Futures Leads Cash Market: Tail Wags Dog - Aug 23, 2017 8:28:10 PM
VIX Futures and Volatility Exchange Traded Notes Drive Volatility - Aug 24, 2017 3:36:6 PM
Are Short Out-of-the-Money Put Options Risky? - Aug 24, 2017 7:46:32 PM
Credit Derivatives-Is This Time Different? - Aug 30, 2017 9:23:41 PM
Interview with a Co-creator of the Volatility Index - Sep 09, 2017 2:0:34 PM
What Do Creators of the VIX Think of Volatility? - Sep 17, 2017 3:16:39 PM
Lessons From an Option Seller - Sep 25, 2017 7:16:11 PM
Are Short Out-of-the-Money Put Options Risky? Part 2: Dynamic Case - Sep 28, 2017 10:59:37 PM
Is Value at Risk a Good Risk Measure? - Oct 01, 2017 12:6:35 AM
Arbitrage Pricing Theory and Factor Investing - Oct 08, 2017 12:1:20 AM
Volatility, Skew, and Smile Trading - Nov 21, 2017 1:37:28 PM
Statistical Distributions of the Volatility Index - Dec 01, 2017 11:9:37 PM
Interview with Robert Shiller, 2017 Truman Medal Recipient - Dec 03, 2017 12:52:51 AM
Liquidity Risk and Exchange Traded Funds - Dec 23, 2017 3:32:15 PM
Mean Reverting and Trending Properties of SPX and VIX - Dec 30, 2017 4:5:20 PM
Most Important Investment Lessons of 2017 - Dec 31, 2017 4:21:43 PM
Goldman Sachs Expressed Concerns About the Growth of Volatility Exchange Traded Products - Jan 14, 2018 1:19:6 AM
Correlation Breakdown - Jan 28, 2018 6:39:53 PM
Correlation Between SPX and VIX - Feb 01, 2018 4:28:45 AM
Is a 4% Down Day a Black Swan? - Mar 01, 2018 11:47:21 AM
Black Swan and Volatility of Volatility - Mar 25, 2018 5:44:25 PM
A Simple System For Hedging Long Portfolios - Mar 31, 2018 7:23:18 PM
Risks Can Only Be Managed, But Cannot Be Eliminated - Apr 21, 2018 4:4:31 PM
VIX Mean Reversion After a Volatility Spike - Apr 30, 2018 4:16:6 PM
Can a Horse Racing System be Applied to the Stock Markets? - May 05, 2018 7:2:22 PM
Overnight Index Swap Discounting - May 14, 2018 11:6:41 PM
Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets - May 19, 2018 7:27:3 PM
Are Collateralized Loan Obligations the New Debt Bombs? - Jun 24, 2018 4:0:24 PM
Historical Default Rates Do Not Predict Future Defaults - Jul 26, 2018 10:1:20 PM
Simple Hedging System With Time Exit - Jul 27, 2018 8:41:5 PM
VALUING A EUROPEAN OPTION - Aug 25, 2018 3:0:47 AM
Valuing an American Option-Derivative Pricing in Excel - Aug 29, 2018 3:20:21 PM
Credit Risk Management Using Merton Model - Sep 23, 2018 5:44:39 PM
Valuing an American Option Using Binomial Tree-Derivative Pricing in Excel - Sep 29, 2018 12:8:5 PM
Interest Rate Swap-Derivative Pricing in Excel - Oct 30, 2018 10:57:58 PM
Merton Credit Risk Model, a Case Study - Dec 17, 2018 6:36:3 PM
Valuing a Fixed Rate Bond-Derivative Pricing in Python - Dec 23, 2018 7:27:11 PM
Is Asset Dynamics Priced In Correctly by Black-Scholes-Merton Model? - Dec 31, 2018 9:39:43 PM
Weighted Average Cost of Capital (WACC)-Business Valuation Calculator in Excel - Jan 27, 2019 3:15:39 PM
Interest Rate Swap-Derivative Pricing in Python - Mar 21, 2019 6:47:34 PM
Valuation of European and American Options-Derivative Pricing in Python - Mar 25, 2019 5:42:18 PM
Differences Between the VIX Index And At-the-Money Implied Volatility - Mar 29, 2019 12:45:13 AM
A Volatility Trading System-Time Series Analysis in Python - Apr 02, 2019 2:38:12 AM
Stationarity and Autocorrelation Functions of VXX-Time Series Analysis in Python - Apr 09, 2019 7:23:29 PM
Complex Derivative Linked to Constant Maturity Swap - Sep 30, 2019 2:29:51 PM
Are Convertible Bonds Really Attractive? - Oct 03, 2019 12:22:44 PM
How Negative Interest Rates Affect Derivative Pricing Models - Dec 16, 2019 12:13:22 AM
Convertible Bond Pricing, a Derivative Valuation Example - Dec 22, 2019 12:43:28 AM
Valuing a Convertible Bond-Derivative Pricing in Python - Dec 30, 2019 2:46:48 AM
Are Collateralized Loan Obligations the New Debt Bombs? Part Two - Jan 20, 2020 5:5:51 PM
Black-Scholes-Merton Option Pricing Model-Derivative Pricing in Python - Feb 01, 2020 2:20:35 PM
Valuing European Options Using Monte Carlo Simulation-Derivative Pricing in Python - Feb 07, 2020 12:41:51 AM
Another Misuse of Financial Derivatives - Mar 01, 2020 1:7:24 AM
Value At Risk – Financial Risk Management in Python - Mar 16, 2020 7:46:29 PM
Correlation Between the VVIX and VIX indices - Mar 26, 2020 3:26:59 PM
What is Stock Beta and How to Calculate Stock Beta in Python - Mar 31, 2020 9:54:44 PM
Close-to-Close Historical Volatility Calculation – Volatility Analysis in Python - Apr 30, 2020 7:25:58 PM
Parkinson Historical Volatility Calculation – Volatility Analysis in Python - Jun 02, 2020 4:23:22 PM
Garman-Klass Volatility Calculation – Volatility Analysis in Python - Jun 27, 2020 10:29:43 PM
Garman-Klass-Yang-Zhang Historical Volatility Calculation – Volatility Analysis in Python - Jul 02, 2020 4:0:17 PM
Valuing American Options Using Monte Carlo Simulation –Derivative Pricing in Python - Jul 25, 2020 2:59:35 PM
Employee Stock Options-Derivative Pricing in Python - Jul 31, 2020 10:7:51 PM
Performance Share Units-Derivative Valuation in Python - Aug 06, 2020 4:15:12 PM
Accounting in Quantitative Finance - Aug 15, 2020 5:44:29 PM
Impact of a Low Correlation Trading Strategy - Aug 17, 2020 3:59:52 PM
Valuation of Warrants-Derivative Pricing in Python - Aug 18, 2020 6:10:49 PM
How to Forecast Implied Volatility - Aug 20, 2020 7:23:35 PM
Convertible Bond Issuance Has Increased - Aug 23, 2020 12:37:32 PM
Valuation of Callable Puttable Bonds-Derivative Pricing in Python - Aug 29, 2020 3:19:31 PM
Valuation of Executive Stock Options Using a Closed-Form Formula - Sep 04, 2020 12:3:26 PM
How to Calculate Stock Beta in Excel-Replicating Yahoo Stock Beta - Sep 08, 2020 1:56:15 PM
Implied Volatility of Options-Volatility Analysis in Python - Sep 26, 2020 11:58:27 PM
Forecasting Volatility with GARCH Model-Volatility Analysis in Python - Oct 26, 2020 2:15:14 PM
Forecasting Implied Volatility with ARIMA Model-Volatility Analysis in Python - Oct 31, 2020 10:17:58 PM
What It Takes to Win at Quantitative Investing - Nov 13, 2020 3:25:54 PM
Statistical Analysis of an ETF Pair-Quantitative Trading In Python - Nov 29, 2020 1:22:36 PM
Modern Portfolio Theory-Portfolio Management in Python - Dec 01, 2020 3:13:14 AM
Trading Performance of an ETF Pair Strategy-Quantitative Trading In Python - Dec 06, 2020 9:27:14 PM
Modern Portfolio Theory-The Efficient Frontier - Dec 12, 2020 6:23:3 PM
Convertible Bond Arbitrage Using the Volatility Surface - Dec 14, 2020 9:40:12 PM
Is Quant’s Life Hard or Easy? - Dec 20, 2020 11:48:36 PM
Linear Regression in Excel - Dec 22, 2020 9:2:13 PM
The Willow Tree Method, an Advanced Option Pricing Model - Jan 21, 2021 4:6:37 PM
Modern Portfolio Theory-Searching For the Optimal Portfolio-Portfolio Management in Python - Jan 25, 2021 11:30:57 PM
Exponentially Weighted Historical Volatility in Excel-Volatility Analysis in Excel - Feb 22, 2021 8:28:59 PM
How to Determine Implied Dividend Yield-Derivative Valuation in Excel - Mar 06, 2021 5:3:25 PM
Autocorrelation Properties of SP500-Quantitative Trading in Python - Mar 31, 2021 10:8:41 PM
Mean-Reverting Trading System-Quantitative Trading in Python - Apr 27, 2021 12:31:32 AM
Trend-Following Trading System, Quantitative Trading in Python - May 05, 2021 10:35:15 PM