Pricing American-Options Using the Trinomial Model with Memoization

By Dongliang “Larry” Yi

1. Code

//  main.cpp

//  American_Option_Tri_Memoi

//

//  Created by Dongliang Yi on 11/23/15.

//  Copyright © 2015 Dongliang Yi. All rights reserved.

//

Value-at-Risk Computed Using Various Methods (Historical Simulation, Delta-normal method, Delta-Normal method using the exponentially weighted covariance estimator, Historical simulation using rescaled returns)

By Dongliang “Larry” Yi

Problem:

1.     Historical Simulation

#thousand.000

VaR <- vector("numeric", length=246)

for (i in 1:246)

{

PLGBP = (1000/(data$GBPUSD[i:(i+1999)]*data$UKX[i:(i+1999)]))*data$GBPUSD[(i+1):(i+2000)]*data$UKX[(i+1):(i+2000)]-1000

Key words in “Quantitative Analyst” job postings

By Dongliang “Larry” Yi

Objective: To find most required skills/abilities related to the job of “Quantitative Analyst”

Total Job postings: 13 (Citi, Morgan Stanley, US Bank, Fitch, S&P, Bloomberg, BoA)

Most mentioned skills/abilities:

Programing Skills: 12 times

            C++: specifically mentioned 7 times

Key words in “Risk Analyst” job postings

By Dongliang “Larry” Yi

Objective: To find most required skills/abilities related to the job of “Risk Analyst”

Total number of Job postings: 7 (from Goldman Sachs, Morgan Stanley, US Bank and Citi)

Most mentioned skills/abilities:

Programing Skills: 7 times

            C++: specifically mentioned 4 times

Quantitative Methods for Asian Option Pricing (in C+)

Question:

Below is the analysis report:

Quantitative Methods for Asian Option Pricing

By Dongliang “Larry” Yi