This tutorial written and reproduced with permission from Peter Ponzo We’re talking about generating joint distributions for two variables, say x and y, with prescribed properties. Just two? Pay attention! Before we run, we walk. For example, we introduced the 1-parameter family of Frank’s Copulas: [F1] where (for […]
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This tutorial written and reproduced with permission from Peter Ponzo We want to consider the possibility of generating random returns with prescribed parameters … such as correlation. When one talks about the correlation between stock A and stock B, one usually means the Pearson correlation which would give, for example: […]
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This tutorial written and reproduced with permission from Peter Ponzo Recently, a theory of coherent risk measures was proposed by Artzner, Delbaen, Eber and Heath (Thinking Coherently, 1997 and Coherent Measures of Risk, 1999) Huh? Patience. There are a jillion ways to measure “risk”, perhaps the most common being Volatility […]
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This tutorial written and reproduced with permission from Peter Ponzo Recently I was asked whether buying a stock for a few percent less would make much difference in your annual return and I said I didn’t think so because … Buy for less? What does that mean? I mean instead […]
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This tutorial written and reproduced with permission from Peter Ponzo Here, we want to describe the logic behind the Black-Scholes Option Pricing Formula which looks like this: Figure 1 What do all those symbols …? We’re not going to derive the formula … just give some indication of how […]
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