December 2023 - Simplify Quant | Making Quant Finance Easier

Valuing Options – Black Scholes Merton

By Shailendra, FRM, CQF December 31, 2023Python Code

Generate a 3D plot import numpy as np import matplotlib.pyplot as plt from mpl_toolkits.mplot3d import Axes3D from scipy.stats import norm def black_scholes_merton(S, K, T, r, sigma, option_type): d1 = (np.log(S…

Understanding BSM Theory: Analyzing Option Prices in Financial Markets

By Shailendra, FRM, CQF December 30, 2023Options

History The groundbreaking work of economists Fischer Black and Myron Scholes in 1968 laid the foundation for a significant breakthrough in financial economics. They introduced the concept of a dynamic…

Valuing Options – European and American using Binomial Pricing Model

By Shailendra, FRM, CQF December 25, 2023Python Code

Pricing European Put Option # Pricing European Put Option import numpy as np import matplotlib.pyplot as plt def binomial_option_pricing(S, K, T, r, sigma, n, option_type): delta_t = T / n…

Option Pay-off: Buyer and Writers

By Shailendra, FRM, CQF December 25, 2023Python Code

Payout for Option Buyers # Buyers Payout import numpy as np import matplotlib.pyplot as plt # Function to calculate call option payoff def call_payoff(sT, strike_price, premium): return np.where(sT > strike_price,…

The Binomial Option Pricing Method Simplified

By Shailendra, FRM, CQF December 25, 2023Options

Introduction The binomial options pricing model (BOPM) provides a generalizable numerical method for the valuation of options which is based on a discrete-time framework, dividing time into a number of smaller intervals. The…

Basic Options Concepts

By Shailendra, FRM, CQF December 25, 2023Options

Options are contractual agreements that grant the holder the right, without imposing an obligation, to buy or sell a specified amount of an underlying asset at a predetermined price before…

Data Visualization and Communication for Finance – Charts

By Shailendra, FRM, CQF December 17, 2023Data Science for Financial Markets

Charts play a crucial role in financial markets and are used extensively by traders, investors, and analysts to make informed decisions. Here are some of the key reasons why charts…

Introduction to Statistical Analysis

By Shailendra, FRM, CQF December 17, 2023Data Science for Financial Markets

Statistics plays a crucial role in data science as it provides the foundational principles and methods for analyzing and making sense of data. Data science relies heavily on statistical analysis…

Exploratory Data Analysis – EDA

By Shailendra, FRM, CQF December 17, 2023Data Science for Financial Markets

EDA is a statistical method used to explore and understand data. It is a critical step in the data science process, as it helps to identify patterns and trends in…

CRISP-DM

By Shailendra, FRM, CQF December 17, 2023Data Science for Financial Markets

Data analytics is a versatile and encompassing field that encompasses various types of data analysis techniques. Virtually any kind of information can undergo data analytics processes to extract valuable insights…