In continuation with the last post, in this one, we will be providing a step by step handbook to program and solve for the model that we looked at. If you haven’t read it yet, please read the following first. [Economic Theory] Hopenhayn Model Hello, it’s been a while since I left medium. So far, I have finished my second year phd and starting thesis years…financial-engineering.medium.com Import packages

Hello, it’s been a while since I left medium. So far, I have finished my second year phd and starting thesis years coming September. In this post, we will be looking at Hopenhayn model, which is one of the workhorses in macro model which deals with heterogenous firms. The structure…

Hello, so after the last post, this will cover how you should actually conduct bootstrap. Although there has been a lot of papers regarding bootstrap for decades, I found there are few resources for students presumably in masters’ or first year PhD. Hope this helps you on your journey. I. Golden Rules These…

Hello, everyone. It has been a while since I left medium. There has been some changes in my life and now I’m doing PhD in Economics at Mcgill university, Montreal. That was just a little update on my private life. In this series on bootstrap (believe it would be two…

As we did last time, delta hedging is a powerful tool in replicating a derivative portfolio. In this session, we are rethinking what we have done so far and implementing two versions of the delta hedging. The final answers should be the same because we are going to the same thing but with different perspectives. In the beginning, my position is 0, and as soon as day 1 starts, I can get my delta. So I need to buy

이번 시간에는 델타 헷징에 대하여 이야기 해 보겠습니다. 우선 델타가 무엇인지를 알아야겠죠. 델타는 주어진 옵션 포지션을 헷지하기 위해서 취해야 하는 기초자산의 개수를 의미합니다. 예를 들어 보겠습니다. 콜옵션 1개를 팔고 델타값을 계산해 보면 0과 1사이의 숫자, 예를 들어, 0.54가 나옵니다. 이 0.54가 콜옵션의 short position을 헷지하기 위해 내가 취해야 하는 기초자산의 position입니다. 즉, 주식을 0.54개 만큼 가지고 있으면 됩니다.

Financial Transactions 이번 비디오에서는 4가지의 서로 다른 금융거래에 대해서 알아보겠습니다. Notations 설명을 위해서 다음과 같은 수직선을 생각해 보겠습니다. 여기가 0이고, 여기가 1입니다. 시점 0은 현재를 의미하고, 시점 1은 미래의 특정시점을 의미합니다. 예를 들어 6개월 후, 또는 1년 후라고 생각할 …

1. User-defined functions (video) 2. Strings in Python (exercise) 3. Recapping built-in functions (exercise) 4. Write a simple function 5. Single-parameter functions 6. Functions that return single values 7. Functions with multiple parameters 8. A brief introduction to tuples 9. Functions that return multiple values

1 while loop (video) 2. while: warming up (exercise) 3. Basic while loop 4. Add conditionals 5. for loop (video) 6. Loop over a list 7. Indexes and values (1) 8. Indexes and values (2) 9. Loop over a list of lists