Monte Carlo Methods for Option Pricing and Greeks
Posted on Sat 01 May 2021 in Options • Tagged with pricing, pytorch, monte-carlo
Using PyTorch to easily compute Option Greeks first using Black-Scholes and then Monte Carlo methods.
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Mixture Density Network for Forecasting Realized Volatility
Posted on Wed 07 April 2021 in Volatility • Tagged with volatility, forecasting, mixture-density-network, machine-learning, pytorch, model-building
Using a mixture density neural network implemented in PyTorch to forecast the distribution of future realized volatility.
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Bayesian Autoregressive Volatility Forecasting
Posted on Wed 17 March 2021 in Volatility • Tagged with volatility, forecasting, bayesian, model-building
Comparison of Volatility Estimators
Posted on Sun 07 March 2021 in Volatility • Tagged with volatility, realized-volatility
A Most Diversified ETF Portfolio
Posted on Thu 07 January 2021 in Portfolio Optimization • Tagged with portfolio-optimization, ETFs, diversification-ratio, performance-measurement, drawdown
Constructing a portfolio from a selection of ETFs to maximize the diversification ratio
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