Building and Managing the Trading Book (Delta 1 & Volatility)
El mercado de opciones siempre está cambiando, y para mantenerse al día necesita los griegos —delta, gamma, theta, vega y rho— que son las mejores técnicas para valorar opciones y ejecutar operaciones independientemente de las condiciones del mercado.
El mercado de opciones siempre está cambiando, y para mantenerse al día necesita los griegos —delta, gamma, theta, vega y rho— que son las mejores técnicas para valorar opciones y ejecutar operaciones independientemente de las condiciones del mercado.
Día 1:
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BUILDING AND MANAGING THE TRADING PI
Modern Portfolio Theory1. Harry Markowitz (1952)2. Modern Portfolio Theory (MPT)3. Risk and Return (again)4. Modelling Equations N=2, N=3 and Matrix Equations5. The Attainable Region6. The Efficient Frontier7. The mu-problem and the sigma-problem8. Example 1: Portfolio N=2 in Excel9. Example 2: Portfolio N=3 in Excel10. Case Study: What is wrong with Minimum Variance Optimization?
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BUILDING AND MANAGING THE TRADING PII
Quantitative Tools1. Principal Component Analysis (PCA)2. Dimensionality reduction3. PCA and Factor analysis4. Correlation Matrix5. Covariance matrix6. Pearson Correlation Coefficient7. Anscombe’s Quartet8. Correlation Matrix Stability9. Eigenvalues and Eigenvectors10. Singular value decomposition11. Positive Definite Matrices12. Computing Volatility: The Hurst Exponent13. Example 1: Estimate Correlation Matrix from Real Asset Returns14. Example 2: Eigenvalues with Mathematica15. Example 3: Calculating PCA (Scikit-learn)16. Case Study: Fixing a broken correlation matrix (Numerical Algorithms Group)Portfolio Optimization1. Basic Theory and Practice2. Mean-Variance Analysis: Overview3. Classical Framework for Mean-Variance Optimization4. Mean-Variance Optimization with a Risk-Free Asset5. Portfolio Constraints Commonly Used in Practice6. Estimating the Inputs Used in Mean-Variance Optimization7. Portfolio Optimization with Other Risk Measures8. Example 1: The Markowitz Optimization Problem, (Fabozzi and Focardi, 2010) inMATLAB9. Example 2: The Risk Budgeting Optimization Problem, (Roncalli, 2013) in MATLAB
