Yann Renoux yann.renoux@nyu. edu
26 Vandam St - Apt 5RW
New York, NY 10013
Tel: (347) 217-8488
~ My projects and articles ~
Along with 3 classmates (Simon, Aloke and Joseph), we have taken the opportunity of our class in Computing in Finance (Lee Maclin, Kishor Laud) to
design a Quant Lib-like engine to price a wide variety of financial products. As our team captain Aloke's a great system expert, we've managed to use CVS to efficiently
work as a group and go as deep as possible in each section, from convertible bonds to rainbow options, from interest rate to variance swaps.
Simon and I took the opportunity to be at Courant among all these PhD students that organised a benevolant seminar on maths and its applications to sneak in and teach a
two-hour class as an Introduction to Financial Mathematics. Starting from a trading game, we've been able to explain the notions of arbitrage, information bias, transaction cost and risk.
Here is the set up we used Trading Game. We had the honor of having a special guest in the audience in the person of
Aaron Brown.
During the second hour, we introduced binomial tree with the idea of risk neutral pricing so as to invoke the fact that the market is supposed to reflect any
information in the price, and that real world estimated probabilities cannot be used in practise to price a security. See our second handout.
An overview of CPPIs.
Courtesy of Giacomo Galli (Rabobank)
It's not the first and surely not the last time you see CPPI mentionned here. I am really thankful
to Giacomo that allowed me to use his summary notes. As he said, it is incomplete, but can be helpful for novices and will be updated
on an ongoing basis.
See also the article on Wikipedia to which we contributed:
http://en.wikipedia.org/wiki/Constant_Proportion_Portfolio_Insurance
Systemic Risk and Hedge funds (Chan, Getmansky, Haas, Lo, 2005).
NY Times reports "Is a Hedge Fund Shakeout Coming Soon?":
Research by Andrew Lo, finance professor at MIT, shows risk indicators associated with hedge fund losses in '98 (LTCM) are
at 20yr highs.
The report says that low volatility returns, such as we have now, have in the past resulted from funds moving into less
liquid assets - these are harder to mark to market, allowing for smoother returns. Any event which removes credit from
the market (such as the Russian default) can then trigger forced redemptions of these illiquid assets, leading to heavy losses. The full NYT article can be found here.
An exact bond option formula (Jamshidian, 1989).
With the kind authorization of the author, here is a famous article that many students are looking for,
for it is known as the first one detailling the pricing of bond options under a Vasicek framework. Please do download this for your personal use,
but do not distribute unless discussed with Pr. Jamshidian.
~ NYU Masters in Maths in Finance Professors' websites ~
Many of the following websites include downloadable articles, I just made a selection of some I liked and found useful but I encourage you to browse through these bright minds websites.
Note also that Leif Andersen teaches Credit Models and soon Robert Almgren with do Statistical Arbitrage and Financial Econometrics.
Along with 3 classmates (Simon, Aloke and Joseph), we have taken the opportunity of our class in Computing in Finance (Lee Maclin, Kishor Laud) to
design a Quant Lib-like engine to price a wide variety of financial products. As our team captain Aloke's a great system expert, we've managed to use CVS to efficiently
work as a group and go as deep as possible in each section, from convertible bonds to rainbow options, from interest rate to variance swaps.
USA