Analysis and Optimization of Derivative Portfolios with MATLAB
Bryan Liang, Bloomberg LP
The derivatives market has experienced significant changes since the recent financial crisis. A lot of efforts have been made to improve its safety, transparency, and efficiency. In this session, we look at an often overlooked but vital component of the derivatives market: its initial economic purposes, as tools for risk mitigation and alternative investment. Many financial decisions are based on the same ingredients: defining a subjective view, exposure, scenario generations, risk/utility criterion, and possible trades/products. We present a unified framework that incorporates all these ingredients and enables us to efficiently analyze, compare, and optimize investment and hedging strategies using derivatives. The main objective is to achieve better alignment of product to need/view. In this presentation, we demonstrate a MATLAB prototype we have recently developed that encompasses many aspects of derivatives, from payoff definition and pricing/calibration to risk analysis, back testing, and optimization, together with many innovative and flexible interactive and visual tools based on MATLAB GUIs.
Recorded: 23 May 2013
Featured Product
MATLAB
Up Next:
Related Videos:
웹사이트 선택
번역된 콘텐츠를 보고 지역별 이벤트와 혜택을 살펴보려면 웹사이트를 선택하십시오. 현재 계신 지역에 따라 다음 웹사이트를 권장합니다:
또한 다음 목록에서 웹사이트를 선택하실 수도 있습니다.
사이트 성능 최적화 방법
최고의 사이트 성능을 위해 중국 사이트(중국어 또는 영어)를 선택하십시오. 현재 계신 지역에서는 다른 국가의 MathWorks 사이트 방문이 최적화되지 않았습니다.
미주
- América Latina (Español)
- Canada (English)
- United States (English)
유럽
- Belgium (English)
- Denmark (English)
- Deutschland (Deutsch)
- España (Español)
- Finland (English)
- France (Français)
- Ireland (English)
- Italia (Italiano)
- Luxembourg (English)
- Netherlands (English)
- Norway (English)
- Österreich (Deutsch)
- Portugal (English)
- Sweden (English)
- Switzerland
- United Kingdom (English)
아시아 태평양
- Australia (English)
- India (English)
- New Zealand (English)
- 中国
- 日本Japanese (日本語)
- 한국Korean (한국어)