arcadynovosyolov / finance

Mathematical finance and quantitative methods in finance

Finance

Copulas

• Normal distribution paradox
• Gaussian copula conditionals
• Gaussian copula with t marginals, examples

Mathematical finance and quantitative methods in finance

• Historic simulation, reproduction of autocorrelations;
• VIX distribution analysis, which movements are most likely given current state?

Options portfoio strategies

• Delta VaR calculation
• Butterfly portfolios
• Straddle and spread portfolios

Portfolio allocation

• Asset allocation using classic risk-return paradigm