Exploring the future of financial data architecture: AI-native financial data foundation, large-scale financial data processing, and financial AI safety & governance
Tag: Volatility
In the previous blog post, we explored the Historical Method of VaR Estimation. The historical method is simple and intuitive; however, it relies on the assumption that financial markets will repeat historical patterns, disregarding structural changes in market conditions. This limitation makes the historical method less practical in real-world scenarios. In this blog post, I will … Continue reading The Parametric Method of VaR Estimation
In CFA Fixed Income curriculum, module 3, section 3, "Effect of Interest Rate Volatility", the impact of interest rate volatility on the value of callable and putable bonds is explored. In this blog post, I will replicate the examples from the CFA curriculum using Python code, leveraging the QuantLib library for bond valuations, including: Effect … Continue reading Effect of Interest Rate and Volatility
Implied volatility (IV) is a key metric in options trading and risk management. It is derived from the market price of an option and reflects the market's consensus view on the expected future volatility of the underlying asset. There is a lot of information that can be interpreted from IV. For example, high IV often … Continue reading Implied Volatility Calculation
Delta hedging is an options trading strategy used to maintain a delta neutral position by ensuring that the overall delta of a portfolio is zero, so that the price fluctuations of the underlying asset do not significantly impact the position’s value. Dynamic delta hedging involves continuously adjusting the hedging position to account for changes in … Continue reading Dynamic Delta Hedging with DolphinDB
Options Greeks are key metrics used in options trading and risk management to measure how sensitive an option's price is a series of factors, including: Delta - measures the sensitivity of an option's price to the changes in the underlying asset's price. Gamma - measures the change rate of an option's Delta in respect to … Continue reading Options Greeks
Data Ninjago (Financial Data Architecture) 
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