Quant Archives - Page 3 of 4 - Simplify Quant

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…

Denoising and Detoning

By Shailendra, FRM, CQF October 21, 2023Portfolio Construction

Denoising and Detoning represent two methodologies employed to enhance the quality of covariance and correlation matrices, pivotal in applications such as portfolio optimization, risk management, and machine learning. Denoising, the process…

Full Revaluation Approach

By Shailendra, FRM, CQF September 16, 2023Market Risk

Full revaluation serves as an effective risk assessment approach for quantifying the potential risk exposure associated with a portfolio of derivatives. This method involves the comprehensive reassessment of the entire…

Sensitivity Analysis

By Shailendra, FRM, CQF September 16, 2023Market Risk

It is a method used to assess the impact of variations or changes in input parameters, assumptions, or factors on the outcomes of a risk assessment, financial model, or decision-making…

Machine Learning for Portfolio Optimization-NCO

By Shailendra, FRM, CQF September 15, 2023Portfolio Construction

In recent years, machine learning (ML) techniques have gained popularity in the field of portfolio optimization. One ML-based method that has shown promise is the Nested Clustered Optimization Algorithm (NCO).…

Black-Litterman Model

By Shailendra, FRM, CQF September 15, 2023Portfolio Construction

The Black-Litterman asset allocation model provides a methodical way of combining an investor’s subjective views of the future performance of a risky investment asset with the views implied by the…

Modern Portfolio Theory – MPT

By Shailendra, FRM, CQF September 15, 2023Portfolio Construction

MPT - Modern Portfolio Theory (MPT), also known as mean-variance analysis, is a mathematical framework that aims to construct portfolios with maximum expected returns for a given level of risk.…

Portfolio Construction – Definition and Steps

By Shailendra, FRM, CQF September 15, 2023Portfolio Construction

Portfolio construction is the art and science of building a custom investment portfolio that meets your unique needs and goals. It's a process that involves carefully selecting and combining different…

Historical Simulation to Calculate VaR

By Shailendra, FRM, CQF August 27, 2023Market Risk

Historical Simulation is a non-parametric method used to estimate Value at Risk (VaR). It involves sorting historical returns in ascending order and identifying the loss threshold corresponding to a desired…