Meet our authors:
bquanttrading – I’ve decided to take some time out of the markets after 8 years. Five of those years was spent on an exotics options trading desk at a bank and the other 3 years on the buy side on a global macro trading desk. While I’m out of the market for a little while decided to post some excel based modelling methods that are easy to implement and at the same time help with market analytics.
asmquant – I was one of the original members of a start-up macro hedge fund as a quant analyst/risk quant. I built trading analytic tools/models, risk management infrastructure and related risk models. I eventually founded a consulting company specialized in providing quantitative tools and models to hedge funds.
My main research interest is in risk modelling, and decided to share some interesting techniques in this blog.
We would like to ask the readers for a big favour. Please do not email us asking for any files. We have shared as much material as we are willing to share. We believe all the details needed to implement the models we discuss are included in the post.
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