Quantopia

Hi everybody (and especially Tom Macura), I’m a quant. Welcome to my page, Quantopia, where I try to look at some of the things that happen in the daily affairs of a typical quantitative analyst.

My work isn’t developing trading┬ástrategies, or high frequency trading, so if you’re looking to learn how to make money trading stocks and shares, I’m afraid this probably isn’t the place for you. Instead, I’ll be looking into some of the maths that underpins fair pricing of derivative products and how different models work. If you’ve got a sharp mind for numbers and an interest in financial markets, hopefully you’ll enjoy reading what I write and learn from and/or critique my thoughts!

There’s also a ‘pricers’ section where I will include a small but hopefully growing batch of pricers. These will typically be analytical pricers – which means, essentially, they solve a formula to give a price. These are fast, and I’ll try and explain the assumptions that underpin them.

I hope eventually to include some way of running Monte Carlo pricers too, which are slower but in many cases more accurate (or sometimes the only!) way to calculate prices, but I’ll have to have a think about how to integrate those into an online (and limited-power) environment.

1 thought on “Quantopia”

  1. Hello,

    My name is Boris Kuzmanovic from Tick Data (http://www.tickdata.com), and I’m reaching out today for a quick business introduction. Tick Data provides research-quality historical intraday data for global equity, futures and options markets to quants in banks, hedge funds, prop shops and academia all around the globe. Quants use our data to develop trading models, risk models, execution models, and for post-trade analysis.

    Do you use historical intraday data in your work?

    If so, would you be willing to have a 10-15 minute phone conversation to go over our data and your research needs?

    Or is there someone else in your organization with whom I should speak about historical data?

    Please let me know if you’d like to learn more.

    Regards,
    Boris
    512.695.5650
    bkuzmanovic@tickdata.com

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