HangukQuant Research

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HangukQuant Research
856 pages; Algorithms for Convex Optimization; Quantitative and Qualitative Treatments to Capital Markets
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856 pages; Algorithms for Convex Optimization; Quantitative and Qualitative Treatments to Capital Markets

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HangukQuant
Nov 18, 2023
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HangukQuant Research
HangukQuant Research
856 pages; Algorithms for Convex Optimization; Quantitative and Qualitative Treatments to Capital Markets
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..preview..

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ahh…the good old market notes. Our last one was here:

836 pages; Applications of Convex Optimization; Quantitative and Qualitative Treatments to Capital Markets

836 pages; Applications of Convex Optimization; Quantitative and Qualitative Treatments to Capital Markets

HangukQuant
·
September 14, 2023
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It was quite awhile back, and I haven’t done much serious math since then, so reviewing this felt so crusty. Time to oil the engine again. We didn’t manage to finish off our convex opt series back then, so we will spend one or two posts to give that complete treatment. Then we will discuss option mathematics…

Here we added 20 pages of notes on unconstrained convex optimization algorithms. For the option mathematics, we are going to uncover in detail the derivation and interpretation of option pricing…some good reference material are Shreve (theory) and Euan Sinclair (intuition), and we are going to see if we can meld those together. I like the latter author’s books on volatility trading, unfortunately there seems to be quite abit of mathematical errata that’s slightly inconveniencing if we were to expand the intermediate workings. We will try to be more explicit.

After we work out the option math, we will start to implement some code and play around abit with option data. Should be fun, I think.

Notes (856 pages, paid readers):

Chapter 4’s 4.9 onwards is added material.

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