Financial Mathematics models in Quantitative Research Strategies
Several slides of short notes on Quantitative Research ideas, mostly regarding Stochastic Volatility models.
See also:
(1) Feb 19 slides, https://lnkd.in/gAg7p5S
Topics:
1 Functional PCA
2 Stochastic Volatility Inspired (SVI) and Ensemble Carr-Pelts(ECP)
3 Zumbach effect in volatility modeling from microstructure views
(2) Feb 29 slides, https://lnkd.in/gSSg4TE
Topics:
1 Quasi Monte Carlo (QMC)
2 SABR model
3 Nonparametric Time Series, Spectral Analysis and High Frequency Data
4 Miscellaneous: from Physics to Quant - Hamiltonian Monte Carlo
(3) March 9 slides, https://lnkd.in/gY-zStg
Topics:
1 Wasserstein Distance
2 Local Stochastic Volatility Models (LSVM)
3 Particle Filtering in Numerical Option Pricing
(4) April 7 slides, https://www.linkedin.com/feed/update/urn:li:activity:6653092285737242624/
Topics:
1 Carr-Wu method: Volatility Surface based on dynamics of implied vol
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