Risk Management & Valuation Stuff

Fundamentals of Risk Management and Valuation for Investment Funds

with the focus on European and Luxembourg-domiciled investment funds

I hope this book could be useful to risk management and valuation junior professionals. This is the book I wish I could have read when I was a junior professional myself. I tried to keep things simple and practical.

Portfolio Theory: an Introduction

This article is an introduction to the so-called modern portfolio theory. It assumes a basic knowledge of linear algebra and multivariable calculus. In the first section we show how to compute the variance and the expected value (mean) of portfolio returns. In the second section we deal with mean-variance constrained optimization problems.

Option Pricing: an Introduction

This article is an introduction to option pricing theory. In the first section we deal with the discrete time binomial option pricing model for European options, giving some hints regarding its convergence to Black-Scholes as the continuous time limit. In the second section we show how to use the binomial model for pricing American options, while the last section contains the Python code used for computing the tables in the text.