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Paul Wilmott on Quantitative Finance, Chapter 20, Technical analysis and microstructure modeling
NathanWhitehead
3,923 views
In chapter 20 I learned about some of the patterns and techniques of technical analysis. I also learned a little about market microstructure modeling, simulating lots of t...
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Paul Wilmott on Quantitative Finance, Chapter 19, Value at Risk (VaR)
NathanWhitehead
2,423 views
In chapter 19 I learned how to calculate value at risk, or VaR, for an asset with normal returns. I also learned about the Sharpe ratio for comparing performance between s...
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Paul Wilmott on Quantitative Finance, Chapter 18, Capital asset pricing model
NathanWhitehead
2,308 views
In chapter 18 I learned about the capital asset pricing model. Every asset has a drift alpha, systemic risk beta, and some diversifiable risk. If you like index funds you...
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Paul Wilmott on Quantitative Finance, Chapter 17, Kelly criterion
NathanWhitehead
1,691 views
In chapter 17 I learned about the Kelly criterion. This is a way to maximize your expected growth by controlling bet sizes when you have an edge to exploit. Even if you h...
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Paul Wilmott on Quantitative Finance, Chapter 16, Fat tails
NathanWhitehead
1,398 views
In chapter 16 I learned just how bad the normal distribution is for predicting extreme events. It's terrible and has lots of defects, but we use it anyway.
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Paul Wilmott on Quantitative Finance, Chapter 15, Binomial model
NathanWhitehead
4,210 views
In chapter 15 I learned about the binomial model. The binomial model is a simple discrete time model of asset prices that lets you calculate option prices numerically.
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Paul Wilmott on Quantitative Finance, Chapter 14, Interest rate swaps
NathanWhitehead
2,142 views
In chapter 14 I learned about interest rate swaps. This included a nice model-independent valuation formula. In fact, the swaps market is so liquid you can bootstrap the ...
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Paul Wilmott on Quantitative Finance, Chapter 13, Bond math
NathanWhitehead
2,181 views
In chapter 13 I learned how to compare bonds using yield, yield to maturity, and Macaulay duration.
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Paul Wilmott on Quantitative Finance, Chapter 12, How to arbitrage volatility
NathanWhitehead
2,569 views
In chapter 12 I learned how to make money by trading on the differences between actual and implied volatility. One choice you have to make is whether to hedge using implie...
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Mark Joshi "Concepts and Practice", Chapter 3.1, Two-world universe
NathanWhitehead
1,367 views
In chapter 3.1 I learned how even in a super-simple two-world universe you can't just use raw probabilities to do any kind of pricing, you have to use risk-neutral probabil...
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