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A Glimse at Chaos: How can I Implement a Logistic Growth Process in ThetaML?
One of the simple models which lead to chaos is the logistic growth process. Using ThetaML, a technology designed for modeling and analyzing stochastic processes, we can implement a very short logistic...
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How can I visualize my model data in an interactive webpage?
A brilliant website is the perfect example for user friendly interactive data visualization: Gapminder. This website presents statistical data about the countries of the world and how it changes in...
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How can I create a Matlab Class for generating a Stochastic Process for ThetaML?
Since version 2008a, the Matlab m-language is extended to include some object orientation. This object-oriented programming style allows reuse, inheritance, encapsulation, and reference behavior....
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How can I backtest my quantitative trading strategy, e.g. MACD signal?
Many popular quantitative trading strategies are public for quite a while. Now, if you like to utilize such a strategy with real money, you must make sure that your strategy performs well. For simple...
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How can I optimize my quantitative trading strategy, e.g. MACD signal?
In the previous post, we saw how to backtest a quantitative trading strategy. The result was, that we suspected that we should be able to find better constants for the MACD trading signal strategy....
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Matlab Parallel Toolbox: How can you run ThetaML Monte Carlo models in parallel?
Often, it is required to run multiple similar simulation models, e.g. for computation of Greeks like Delta, Gamma, Vega, etc. Another reason for multiple calls is that one wants to estimate the...
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What happens to Portfolio Protection (esp. CPPI) under Transaction Costs and...
One of the most popular portfolio protection trading strategies is the Constant Proportion Portfolio Insurance (CPPI). This strategy maximizes the exposure in stock at each rebalancing time while...
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What is a Good Design for a Pricing Library? Use a Payoff Description Language
A good library design requires a separation of the functionality into modules with an appropriate API. The size of the modules is determined by the application. While for a simple trading application a...
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How Can I Handle Complex Pricing Models with PDE Solvers?
In the previous posts, we saw that it is easy to create a PDE solver for pricing options. But, what happens if one likes to price more complex structures like convertible bonds or variable annuities?...
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Feedback: What is the Effect of Hedging Options on the Underlying?
More and more investors insist on guarantees on the investments. Theses investments are often created using options or dynamic strategies like CPPI. Recently, these strategies were made available in...
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