Quantitative Financial Analysis Week VII Notes
Quantitative Financial Analysis Week VII Notes BU.230.710.52.SP16
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This 2 page Class Notes was uploaded by Kwan on Friday April 29, 2016. The Class Notes belongs to BU.230.710.52.SP16 at Johns Hopkins University taught by Stuart Urban in Spring 2016. Since its upload, it has received 33 views. For similar materials see Quantitative Financial Analysis in Finance at Johns Hopkins University.
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Date Created: 04/29/16
Quant VII Friday, April 29, 09:11 1. HW4 : 1) Uniform distribution: Q1 Q2 Infinity: no default (large) Vectorize for statements: faster! Tic Toc 2) Use Kth_to_default_Valuation_MonteCarlo_HW4_ Generic in Final : (CDS derivatives) eye() matrix correlation_matrix: change by hand log: vectorized Sort(): descending order Final: 20min a. Options: get_call_payoff b. MC -‐-‐(like midterm) c. VaR: get_eu_call_price -‐-‐to change Holding_options-‐ -‐ to change Horizon_stock_price: correlated So Holding_stock*Horizon_stock_price in portfolio_value 2h40min a. Credit derivatives [start with: Kth_to_default_Valuation_MonteCarlo_HW4_ Generic] b. Some options [which to start with; how to change] More thinking