Quantitative Finance

This category contains 2 posts

Emanuel Derman’s Guide for the Perplexed Quant

I came across and was reading Emanuel Derman’s article titled “A Guide for the Perplexed Quant“. Emanuel Derman is one of the originators of the Black-Derman-Toy interest rate model and the Derman-Kani local volatility model, and was a Managing Director at Goldman Sachs running its quantitative strategies research group. He is now a professor at … Continue reading

Determining the Optimal Equity Portfolio aka Modeling a Basket of Credit Default Swaps

Say you have picked out a couple of companies. Done your detailed research, estimated their potential gains, estimated the time horizons in which the catalysts would occur, and finally decided that they are good buys. So how exactly should your optimal portfolio look like? Do you pick the top 8? the top 10? or maybe … Continue reading

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