Still under construction

Welcome to Vinegar

Bridging Quantitative Theory and Workable Code

Masters of Finance TU Dublin

Phd Research Opportunity

VinegarHill-DataLabs

DIFME Erasmus+

Mission Statement

VH-Labs is a resource we plan to develop over time to promote financial literacy and digitization. VH-Labs will publish Python, C++, C#, Cython, Javascript, VBA, and R code that will have a blend of pedagogic and practitioner themes. This is intended to follow the approach introduced by Fabrice Rouah.

Unfortunately, Fabrice's Volopta website has now become defunct but his books are still very popular and highly practical. The thumbnails, map out a textbook type organization of Finance themes ranging from Fixed Income to Option valuation. In addition, to teasing out: American vs European and Exotics, we also apply some operations research techniques to the field of option pricing. In particular, we substantially augment the speed of computation for lattice models to the point that they surpass both in speed and accuracy conventional closed-form solutions for pricing American options. Numerically intensive models devour processing power and we remedy this for one class of option pricing model with Intelligent Lattice Search . This approach can be generalized to any lattice.

In this portal, we also more generally present/review pricing models based on: Black Scholes, Binomial, Trinomial and Monte Carlo. We present code and linked to each snippet of code we will try to provide some video footage explaining how models work, how to implement same in varying platforms and refinements that can be introduced. This may have some value to fintech developers, risk managers, compliance officers, regulators, accountants and to sectoral stakeholders in energy/insurance where embedded options have to be accounted for/understood/hedged. Workable code permits models to come to life and repositories like this will help render accessible some of the more taxing estimation techniques that are now considered standard. We also try to provide some health warnings and point to instances where derivatives would appear to be highly dysfunctional. This it must be recognized is part of the landscape we should not be slow in pointing out.

We hope to present a fruitful but manageable learning curve to newbies and a handy quick reference check to many seasoned modelers. To those who are taking their first steps, we recommend starting with Futures Markets, by Robert Shiller. Also, his companion Lecture on Options Markets is intuitive and refreshingly insightful. We also strongly recommend the following texts (1) John Hull, (2) Robert MacDonald (3) Simon Benninga (4) Kerry Back and (5) Yves Hilpisch.