• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Recent content by yetanotherquant

  1. Y

    Poll: Quant-Students, which programming language is favored by your study program?

    Ask Siraj :) (I am not [completely] agree with his affirmation but find his rap very amusing :))
  2. Y

    Poll: Quant-Students, which programming language is favored by your study program?

    One can still name Matlab (or whatever) in comment :)
  3. Y

    Poll: Quant-Students, which programming language is favored by your study program?

    Because Ok, short after I created this topic , I really thought I had to include Matlab but I if you modify a poll, it is only possible to append (not arbitrarily insert) an option. This would make the checkbox list looking ugly :)
  4. Y

    Poll: Quant-Students, which programming language is favored by your study program?

    Participants are highly encouraged not just to select among possible responses but also write some comments :)
  5. Y

    Pitfalls of Nelson-Siegel Yield Curve Modeling – Part I

    And the 2nd part: Pitfalls of Nelson-Siegel Yield Curve Modeling – Part II - what ML and AI can[not] do
  6. Y

    Pitfalls of Nelson-Siegel Yield Curve Modeling – Part I

    This not, but of course I could have previously mentioned that the NS has these problems.
  7. Y

    Pitfalls of Nelson-Siegel Yield Curve Modeling – Part I

    The Nelson-Siegel-[Svensson] Model is a common approach to fit a yield curve. Its popularity might be explained with economic interpretability of its parameters but most likely it is because the European Central Bank uses it. However, what may do for ECB will not necessarily work in all cases...
  8. Y

    The Fairest Reward System for a Wealth Manager

    What is the most fair reward system for a wealth manager? In theory it is hardly possible to answer this question without oversimplifications. But in [best] practice? Feedback is very welcome! The Fairest Reward System for a Wealth Manager — letYourMoneyGrow.com - Serving Retail Investors
  9. Y

    Building Open Source Risk Engine (Quaternion ORE) in VS2017 without Git

    The Open Source Risk Engine is an opensource software project for risk analytics and xVA. It is written (mostly) in C++ and based on QuantLib. In this post we explain how the ORE can be built from source in Visual Studio 2017. Building Open Source Risk Engine (Quaternion ORE) in VS2017 without Git
  10. Y

    Quantlib Python

    Yes, but it is also non-trivial to setup a "C++Python" project. Anyway, I would prefer (if possible) to stay with PyCharm for Python-side. To my knowledge there is none (I mean no open-source project, which is more or less complete or is being actively developed). SWIG is indeed old but it...
  11. Y

    Quantlib Python

    QuantLib Python - debugging C++ side with Visual Studio and PyCharm - a dirty way
  12. Y

    12 Consistentently Profitable Automatic FX Strategies

    I always considered FX for a tough market: I mean in Stocks and Bonds one has [besides TA] company fundamentals, but FX... well, some macroeconomics, which is hard to integrate into a trading system. That's why it is interesting to see that some traders consitently do make money in Forex: 12...
  13. Y

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    No, I dropped writing it since (as you can see in this poll), there was little (pay-willing) interest. As to Luigi's book, it is good but it is not for novices. I always told to Luigi that the main problem is that he assumes that every user of QuantLib is as brilliant as he, himself :) @Quasar...
  14. Y

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    Best in which sense? Yes. Although it is inconsistent: HW is arbitrage free, NS is not. But who cares? :) Or who cared about theoretical inconsistencies by a usage of Black'76 for pricing options on bonds (until the LIBOR model appeared)? Moreover, in pricing and trading it is quite essential...
  15. Y

    Poll: for how much would you buy a book on "Getting Started with QuantLib"?

    No. Moreover, Damir Filipovic did a fine research, in which he has shown a kind of inconsistency of NS with HJM Framework. Because in Europe Nelson-Siegel-Svensson is de-factor a standard model, in particular Deutsche Bundesbank, German Finance Agency (and likely the ECB) use it. The reason...
Top