Pricing Arithmetic Asian Options using Moment Matching

Asian options are path-dependent options whose payoff depends on the average value of the underlying asset during a specific set of dates across the life of the option. Because the payoff of the Asian options depends on the average value Continue reading Pricing Arithmetic Asian Options using Moment Matching

Calibrating Jump Diffusion Models using Differential Evolution

Determining the correct parameter values to be used in a Jump-Diffusion model is not a trivial process (as outlined here).  In this blog post we will be using the biologically inspired differential evolution technique to calibrate a Jump-Diffusion model using Continue reading Calibrating Jump Diffusion Models using Differential Evolution

Analyzing A South African Financial News Twitter Corpus using a Topic Model

Over the past decade there has been an increase in the amount of digital information that is available. In particular, there is now vasts amount of data that is available on social media platform such as twitter and Facebook that Continue reading Analyzing A South African Financial News Twitter Corpus using a Topic Model

Calibrating Financial Models using a Non-Parametric Technique

Traditionally, asset returns have been modeled using diffusion processes. Diffusion processes assume that the sample path of the process being modeled is continuous. However, empirical evidence suggests that there are jumps that occur in asset returns, such as those that Continue reading Calibrating Financial Models using a Non-Parametric Technique

A Random Forest Test For Jumps in Stock Markets Using R

In the previous article we looked at how one can use Neural Networks to detect jumps present in returns of a particular stock. In this blog post, we build on the thinking established in the previous article and use a Continue reading A Random Forest Test For Jumps in Stock Markets Using R