Rounding up Convex Opt (Market Notes, 891 pages)

Our last market notes were a primer on volatility estimators.

In this post, we round up our long and arduous series on convex optimization…

The next few posts will be on the

• code for these volatility estimators, and

• we will write backtesting code for volatility trading. We will begin off with a simple model for selling spx straddles and doing the pnl accounting.

• then we see if we may improve the generalisability of the code to allow for multi-asset and multi-strategy (option structures), as well as hedging capacities.

Cheers.