Tag Archives: material

#growth signs in #material as J OC ECR I index rise to high since 2011

signs in as J OC ECR I index rise to high since 2011

[igp-video src=”https://quantlabs.net/blog/wp-content/uploads/2016/08/growth-signs-in-material-as-J-OC-ECR-I-index-rise-to-high-since-2011.mp4″ poster=”https://quantlabs.net/blog/wp-content/uploads/2016/08/growth-signs-in-material-as-J-OC-ECR-I-index-rise-to-high-since-2011.jpg” size=”large”]
#growth signs in #material as J OC ECR I index rise to high since 2011

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How do you get access to my Matlab and R Quant Algorithm Trading Strategy Academy course material

How do you get access to my Matlab and R Quant Algorithm Trading Strategy Academy course material 

This was a question that came in from someone on newsletter list: 

Hi
Firstly, l can program in C and some C#. I have access to Matlab , R and SQL server.
I really want to be able to create and test strategies, l am new to this subject and want to learn from scratch. Will
 the premium membership supply me with the tutorials etc.(EG. for newbies, examples of accessing data, creating a 
strategy and testing it). Also, are your courses in Matlab and R included in the premium membership.
Please contact me for any clarification, look forward to your reply.


I have tonnes of videos on all these topics you mention. ALl material you mention in learning R and Matlab is 
scattered throughout the Premium Membership. The only difference with Academy, it is in structured manner.
 Let me know if this answers your query.

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Material posted on how to profit from realized volatility

Material posted on how to profit from realized volatility

The presentation is up on my website in the “Resources” Tab:

Hopefully I will have another youtube video by the end of the month.

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Looking for papers/material about HFT

Looking for papers/material about HFT

I am looking for papers and/or material of any kind that explains the basic techniques used in HFT. Most of them are, of course, proprietary, but there must be some material with basic principles. So far, I haven’t found much on the internet.

 

==

Please have a look into http://www.ssrn.com/

You can find a lot of papers, though don’t know whether explaining the basic techniques or not. Good luck

 

 

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Presentation material for Quant Finance Meetup on Pairs Trading in R programming language

 

Presentation material for Quant Finance Meetup on Pairs Trading in R programming language

This is from Alon who presented last nite:

You can reach the slide deck with the code at
alonhonig.com in the ‘resources’ tab
Here is a paper that refers to logarithmic as well as arithmetic returns:
http://ssrn.com/abstr…
Here is the pairs trading paper:

http://69.175.2.130/~…

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Pricing Bermuda Swaptions – infos, material and code needed pls.

Pricing Bermuda Swaptions – infos, material and code needed pls.

Dear fellow quants!

I am looking for some material for pricing Bermuda Swaptions.
Does anybody have, or now where to get Matlab Codes or recommended books to get more insight specific in this topic?

At the moment I am using:
Brigo, Mercurio – Interest Rate Models Theory and Practice
Rebonato – The SABR/LIBOR Market Model
Dissertation Hippler – Pricing Bermudan Swaptions in the LMM (find it in google)

I want to price and calibrate bermuda swaptions by using following methodologies:
-black’s formula
-LMM/SABR
-Longstaff-Schwarz algorithm
-regression based monte-carlo methods for early exercise options.

Thanks for your help.

—–

Try this article on pricing interest rate swaption…it uses the black’s formula to explain how to value a simple swaption but very good indeed and may give you the background you need to value the bermudan….http://www.jstor.org/pss/4479437 .

—–

for the paper. I do understand the pricing of swaption, but I am stuck with my Matlab implementation of the Bermudan Swaptions. (http://eprints.maths.ox.ac.uk/714/1/Dissertation_SteffenHippler.pdf)

here is my detailed question on Wilmott Forums:
http://www.wilmott.com/messageview.cfm?catid=8&threadid=85665&STARTPAGE=1

if someone knows any suggestions or even Mr. Hippler himself, help would be highly appreciated.

—-

You may also take a look at Glasserman “Monte Carlo methods in financial engineering” for the regression based monte carlo. It may help you with the algorithm. As for the LIBOR, the LFM is quite good described in Glasserman (I modeled it with R), which is not the case, however, with LSM which is used for swaptions. Do not hesitate to contact me if you have further questions with regard to it

 

 

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