Assembly code – Exotic option simulation THIS PROGRAM SIMULATES THE BEHAVIOR OF AN EXOTIC OPTION. THE PROGRAM ASKS THE USER WHETHER HE PREFERS TO BUY A PUT OR A CALL. SUBSEQUENTLY, IT PRICES THE DERIVATIVE VIA MONTECARLO. A SIMULATED UNDERLYING ASSET TRAJECTORY IS COMPUTED AND SHOWN THE USER. A PAYOFF IS CALCULATED AND THE USER IS FINALLY INFORMED OF THE OUTCOME OF HIS BET. Si tratta di un progetto di una certa dimensione che riproduce, in codice Assembly, alcuni dei concetti studiati nel corso di Laurea Magistrale in Finanza quantitativa. L’ho realizzato allo scopo di prendere maggiore confidenza con il basso livello della programmazione. AlloRead More →

The volatility surface generated by an option

Heston For my assignment project in the Derivatives MSc course I chose to focus on the Heston Model. I did it using Matlab. The Black and Scholes Model has stochastic returns. Heston models prices as also having stochastic volatility. My assignment project addressed the behaviour of an option, both in a “B&S world” and in a “Heston world”, showing differences between the two such as kurtosis and the smile effect. I simulated stock trajectories both with MonteCarlo (it’s two correlated stochastic processes – returns and volatility) and using the analytic formula. With the analytic formula I plotted the volatility surface of such an option. IRead More →

Financial Risk Management - Matlab Graphic User Interface

Financial Risk Management For the Financial Risk Management course I developed – with some fellow students – a Matlab application with its own Graphical User Interface. We gathered historical data of some specific commodities on the web. Our hypothesis was that price fluctuations had an asymmetric impact on some goods intermediaries. We modeled the problem as if it was a particular kind of option to be priced. The fair price of the option represented the commercial risk of the companies selling the goods. It could be seen as the necessary markup on the goods; as a hidden cost; or as the fair price of anRead More →

Computational Methods for (Quantitative) Finance This University course focused on numerical solutions for some Quantitative Finance problems. Notably, it included: Tree methods for the pricing of European contingent claims and empirical check of the convergence of the results to the Black and Scholes formula in the case of put and call options. Computation of the delta. Application of the methods in the case of American contingent claims Finite differences methods (implicit, explicit, Crank-Nicholson) for the pricing of European and American contingent claims. Stability and convergence Monte Carlo methods: Euler scheme for the simulation of trajectories of stochastic processes. Use of Monte Carlo methods for derivativeRead More →

University Trading Challenge From Decemper 2015 to May 2015 I took part in a trading contest (by Directa Sim) with some fellow students. During those months the global markets – the European markets especially – were in a turmoil. A big turmoil. Volatility sky-rocketed due to the Greek government-debt crisis. Every other week news brought dramatic effects to the markets. Not only the future of Greece was at stake – the European currency itself was. Managing a portfolio – a risky one – during those months was very educational. Our team was the “Gauss Team”. We were given real money – it was not aRead More →

Circuito elettronico

Digital electronics The Arduino kit let me approach digital electronics, even though I was an outsider. The amazing revolution of Arduino was basically one thing: showing people that electronics is no black magic. Arduino made electronic devices design possible to me, and to many more people who just wanted to try it. When I was a kid I did use soldering irons, solder and PCBs. But I did it just slightly better than monkeys would do it. Thanks to Arduino I became aware of the fact that electronics was quite similar to coding: you just plug a bunch of pieces together the right way andRead More →

qBasic My first programming language was Basic – qBasic. I met Mr. Q. Basic when Floppy Disks were actually floppy. Now… disks what?? Someone may recall pleasant memories while watching the next video. Here we can see the qBasic interface. Although essential, it felt quite friendly. From website:   At that age the artificial mind seemed something that could eventually be done. I thought I just needed to teach a few ideas to my pc, through some smart coding. Those first ideas could seed and let my artificial brain grok more complex thoughts, and so on. My qBasic, a 386 pc – Hard disk 50Read More →