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My quantitative project: hedging exotic options - YouTube
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hi if you anyone who may be concerned my
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name is Percy from China and in this
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video I want to talk about the project I
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have ever done in my internship in Judah
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securities as a trader
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this project was to analyze human eye
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auction a complex financial derivative
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based on multiple interrelated among my
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assets this product was first introduced
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and about to be brought into China in 27
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and I boss asked me to do research to
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see if we catch it properly and control
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the profit loss in Cuba acceptable
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interval this was very challenging for
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me because while holding the short
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position of the product we have to
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establish lumps agents for all Andre
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asses however there was no explicit
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formula for pricing the value of the
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derivative in any point of the observing
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period so my project covered three
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aspects the first thing is to estimating
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the value of the product the second
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thing is calculating the alphabet
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including alpha and math gamma matrix
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and finally Iberian backed us simulation
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and a real time trading this is my
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original relation mahajan system which
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comprises a pricing function the
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calculation of cross gamma and Delta the
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estimation of correlation ship and
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fluctuation ratio and other support
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program I did this project two years ago
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but luckily I lost all my data of swap
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prices but anyway let's use the system
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to see how it works by pricing a
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particular option firstly let's use it
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initialization
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likes a number of online assets the
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risk-free ratio and we resume the stock
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prices are independent now we can't
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generate them on the car routes as Apes
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in them and then we have used a ruse to
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estimate the body of the option at a
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major point not very fast but pretty
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huge to use right now let's take a look
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at is a program to calculate cross gamma
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here I use a second order differential
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matter to do it and the problem is that
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how to choose the proper time and an
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interval to use a different method after
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thousands of client tests I found that
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we better choose epsilon as the average
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daily fluctuation rate you add Vista
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prizes I will now show you the process
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of calculation because it will take a
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long time here is a result of cross
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gamma and the problem is that why we use
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cross gamma why not just use different
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method to calculate the Delta the answer
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is we sacrifice accuracies exchanger to
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consistency if we use differential
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method to calculate Delta directly we
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can promise we are in the right
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direction when we are giving adjustment
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you are a long position of the stocks
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because of the arrows here is my result
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of the written hanging simulation and I
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want to earn interest of market and the
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change of the option value to be as
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consistent as possible
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and for a picture you can see I did a
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very good job that's all what I have
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done in my header chef inter spiritus in
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27 and in the next year and my boss
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invited me to work there because he
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thought I was pretty good but I said I'm
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sorry I really loved you but I want you
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to learn more in the US however he
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offered me at her chance for internship
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and in 2018 I joined his core team and
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zerah I did something more exciting as
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you can see my previous system was very
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naive because I didn't write it
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systematically
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however in my new program I love
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everything a compatible with the
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company's system and it means it can be
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used directly in the real-time train
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system in this internship and nerd for
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those best traders and programmers to
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refine my system and example I used
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matrix calculation instead of all the
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four iterations and it dramatically
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increase the efficiencies by 10 times
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with the improvement of my system and
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use persuade us that history accuracy I
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render engine radio stock price palace
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and simulated in my head
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system for over 200 tons and here is a
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distribution of maturity games of all
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simulations and you can see it is a very
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good handle system what I was proud
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MELAS for my system while this program
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in which I used the forward rate modem
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to calculate alpha instead of using
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differential method which dramatically
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increasing accuracy why the means in
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some cases we could exchange the order
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of integration and interrogation and in
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the forward rate modem I exchanged the
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order of calculating alpha which is
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derivation and estimating option value
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which can be viewed as integration thank
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you for listening if you are interested
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I can send you more materials about that
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