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Implied Volatility of Options-Volatility Analysis in Python

Posted on September 26, 2020 By 
Volatility measures market expectations regarding how the price of an underlying asset is expected to move in the future. There are two types of volatility: historical volatility and implied volatility. In a series of previous posts, we presented methods and provided Python programs for calculating historical volatilities. In this post, …
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Are AI-Powered Hedge Funds Outperforming?

Posted on September 9, 2020 By 
Last month, institutionalinvestor.com reported that AI-powered hedge funds outperformed their peers, Hedge funds with artificial intelligence capabilities showed a huge competitive edge over investors that didn’t use AI, new research indicates. AI-led hedge funds produced cumulative returns of 34 percent in the three years through May, a report Tuesday from …
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Simplified Accounting for Convertible Bonds

Posted on September 8, 2020 By 
Convertible bonds are complex financial instruments. However, the accounting treatment for convertible bonds has been simplified. The Financial Accounting Standards Board (FASB) released new guidance last month on accounting for convertible instruments and contracts in an entity’s own equity… Convertible instruments are debt or equity instruments (or features) that either …
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Banks Hold Many Illiquid Assets

Posted on August 25, 2020 By 
The trend in the increased holding of risky assets continues. Because of Covid-19, the big banks now hold more illiquid, opaque assets than before. Lenders including Barclays Plc, Citigroup Inc., BNP Paribas SA and Societe Generale SA reported a surge of more than 20% in their most opaque assets during …
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Convertible Bond Issuance Has Increased

Posted on August 22, 2020 By 
Convertible bond issuance has increased during the Covid 19 pandemic. From a funding perspective, convertible bonds have many attractive features for corporates, which have become more important during the pandemic. …In volatile markets, the value of the embedded option in a convertible bond increases. The asset class also becomes more …
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How to Forecast Implied Volatility

Posted on August 20, 2020 By 
How do you determine the volatility of an unlisted entity, and more generally, how do you forecast volatility? These are non-trivial questions. There is an interesting discussion on Stackexchange: Here is a question I had for a long time but I never asked. Let’s take an easy example, AirBnb will …
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