Finance

 Notebooks on topics in quantitative finance

I had no formal training in quantitative finance but entered the field in 1995, after 25 years professional experience as a plasma physicist. My feelings about this career transition are similar to those expressed by Emmanuel Derman in his excellent autobiography – My Life as a Quant.  I worked initially as a computational modeling consultant tasked with extending the capabilities of a Monte Carlo engine that valued financial derivatives. That project was followed by another and then another. Over time I developed some competence with the techniques for valuing derivatives and also gradually firmed my theoretical foundations in quantitative finance.

My life as a quant was event-driven. Over the next 15 years, new problems were posed to me, often on a daily basis, and the time frame for an answer was always NOW. My Mathematica notebooks became invaluable. Faced with a new problem, I could resurrect an old notebook that was somehow relevant and quickly adapt it. With time and experience came a comprehensive repertoire of derivative valuation techniques, relevant examples, derivations of classical results, and quantitative analyses of relevant issues.

As I began to reread my old quantitative finance notebooks in preparation for displaying them on this website, I realized they needed to be reworked in order to be understandable by others. So, almost all notebooks displayed here will be contemporary takes on topics I first considered years ago.

These notebooks are not self-contained but typically assume the reader has a good background in the subject material. They were notebooks for a working professional and focus on obtaining a specific result or solving a particular problem, not on elucidating the subject material. Still, since so much detail is provided, I suspect they will be of use for students and new practitioners. In the guidelines section, I provide lists of references that were useful to me when learning quantitative finance.

Black-Scholes formalism and calculations

Black-Scholes Formalism

Models of options and contingent claims

Option models