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Is Windows 8 good for Business Users, esp. Quants?
Being member of the MSDN, I just installed and tested the new Windows 8, Office 2013 and Visual Studio 2012. The step in MS Windows evolution is actually quite big and in the following, you find my...
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UI Revolution in MATLAB 8 (R2012b): Is It Worth an Update?
Finally, after at least 13 years of slow GUI evolution from MATLAB 5, The MathWorks decides to break with the past and offer a graphical revolution for MATLAB 8. MATLAB 8 – R2012b comes with a fresh...
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What is Historical Volatility and Why Do We Need Implied Volatilities?
Looking at financial instruments, one often finds the term implied volatility. In this post, we want to describe what it is and what you can do with it. We start refreshing the term historical...
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Post Crisis Financial Modelling – What changes?
I recently stumbled upon an interesting book about post-crisis interest-rate modelling. Besides future changes in the LIBOR and possible EURIBOR fixing after the manipulations of the past few years,...
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Early Exercise: Curse or Blessing
Many financial contracts come with the right of exercising a right prematurely. Such early exercise rights are a clear advantage for the option holder. But, these rights create optimal stopping...
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GPU Computing News: Jacket is aquired by The MathWorks
After benchmarking the GPU performance of Accelereyes Jacket and Matlab PCT, I found that Jacket pushes the limit to best performance much harder than PCT. Now, according to the Accelereyes Blog, The...
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Merry Christmas! And a happy new Year! Cats singing silent night….
Thank you all for the great feedback this year. Next year will be interesting with lots of new technology and more finance focus. I always hear that cats work best in the internet. So, here is a great...
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Quandl: A Wikipedia for Numerical Data
For data analysts like myself, one of the most useful pages on any blog resides on this website. The comprehensive list of data sites Andreas put together is indispensable because finding numerical...
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Financial Modelling (with Matlab Source): A great new book
Joerg Kienitz and Daniel Wetterau present “Financial Modelling: Theory, Implementation and Practice with MATLAB Source”, a great resource on state-of-the-art models in financial mathematics. The...
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Historical performance lies! Beware of survivor bias.
Often you find studies how well a specific fund or trading strategy has performed. You must be aware of the fact that basically all studies based on historical data lie – or at least do not tell the...
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25 Years German DAX: A success story?
On July 1st, 1988 German DAX was published. It was not only an index of the German stock market: It introduced a new methodology computing a stock market index. The German DAX was the first popular...
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VDAX revisited – Implied volatility return vs. Index Return
Last time we looked at implied volatility, we found a close relationship between historical volatility and implied volatility. This time, we want to look at the relative changes of DAX and VDAX and...
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Speed-up of MATLAB: Just-in-time compiler JIT
Sometimes, MATLAB seems to be slow and inefficient. MATLAB is great for prototyping and interactive analysis, but sometimes execution speed is crucial. The MathWorks proposes to vectorized your code....
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Post Crisis Financial Modelling – What changes?
I recently stumbled upon an interesting book about post-crisis interest-rate modelling. Besides future changes in the LIBOR and possible EURIBOR fixing after the manipulations of the past few years,...
View ArticleClik here to view.
Early Exercise: Curse or Blessing
Many financial contracts come with the right of exercising a right prematurely. Such early exercise rights are a clear advantage for the option holder. But, these rights create optimal stopping...
View ArticleClik here to view.
GPU Computing News: Jacket is aquired by The MathWorks
After benchmarking the GPU performance of Accelereyes Jacket and Matlab PCT, I found that Jacket pushes the limit to best performance much harder than PCT. Now, according to the Accelereyes Blog, The...
View ArticleClik here to view.
Merry Christmas! And a happy new Year! Cats singing silent night….
Thank you all for the great feedback this year. Next year will be interesting with lots of new technology and more finance focus. I always hear that cats work best in the internet. So, here is a great...
View ArticleClik here to view.
Quandl: A Wikipedia for Numerical Data
For data analysts like myself, one of the most useful pages on any blog resides on this website. The comprehensive list of data sites Andreas put together is indispensable because finding numerical...
View ArticleClik here to view.
Financial Modelling (with Matlab Source): A great new book
Joerg Kienitz and Daniel Wetterau present “Financial Modelling: Theory, Implementation and Practice with MATLAB Source”, a great resource on state-of-the-art models in financial mathematics. The...
View ArticleClik here to view.
Historical performance lies! Beware of survivor bias.
Often you find studies how well a specific fund or trading strategy has performed. You must be aware of the fact that basically all studies based on historical data lie – or at least do not tell the...
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