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Quantitative Financial Analysis Week VII Notes

by: Kwan

Quantitative Financial Analysis Week VII Notes BU.230.710.52.SP16

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Quantitative Financial Analysis
Stuart Urban
Class Notes
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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


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