HangukQuant Research

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Rounding up Convex Opt (Market Notes, 891 pages)
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Rounding up Convex Opt (Market Notes, 891 pages)

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HangukQuant
Dec 19, 2023
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HangukQuant Research
Rounding up Convex Opt (Market Notes, 891 pages)
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Our last market notes were a primer on volatility estimators.

Primer on Volatility Estimators

HangukQuant
·
December 14, 2023
Primer on Volatility Estimators

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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.

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