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The paper presents a comparison of the two languages Python and R related to the classification tools and demonstrates the differences in their syntax and graphical output. It indicates the functionality of R and Python packages {dendextend} and scipy.cluster as effective tools for the...
Persistent link: https://www.econbiz.de/10014094796
Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...
Persistent link: https://www.econbiz.de/10014348956
Hedging of illiquid financial instruments is carried out with liquid instruments that, as a rule, have simpler payoff functions. For example, hedging of Asian or long-dated put options is carried out with vanilla puts, hedging of Bermuda swaptions is done with vanilla swaptions, etc. This kind...
Persistent link: https://www.econbiz.de/10013000625
The recent analytical closed-form result ('http://ssrn.com/abstract=2549033' http://ssrn.com/abstract=2549033) discovered by Market Memory Trading L.L.C. (“MMT”) for the probability density function of the European style options with stochastic volatility, considered within the Heston model,...
Persistent link: https://www.econbiz.de/10013019454
Persistent link: https://www.econbiz.de/10013020217
The first ever explicit formulation of the concept of the option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...
Persistent link: https://www.econbiz.de/10013022328
The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk...
Persistent link: https://www.econbiz.de/10013029750
• The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications "Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options -- True...
Persistent link: https://www.econbiz.de/10013030477
•The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publication “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...
Persistent link: https://www.econbiz.de/10013030852