Betting Against Beta

  • Studied Frazzini and Pedersen’s (2014) Betting Against Beta; Implemented this beta-arbitrage strategy, replicated the numerical results in the paper, and tested it on the Canadian and US equity market data
  • Evaluated the strategy from three aspects: portfolio construction procedure, hedging methods, and trading cost; Proposed further development to improve it
[CODE]

Numerical Methods in PDE

Implemented different numerical methods for diffusion equations and compare the results of these methods

  • Diffusion Equations
  • Dufort-Frankel Method
  • Crank-Nicholson Method
  • Forward Time Centered Space Scheme
[PDF] [CODE]

Option Pricing in the Multi-Period Binomial Model

Built a multi-period binomial model whose parameters are calibrated to a Black-Scholes geometric Brownian motion model

  • European stock option pricing
  • American stock option pricing & earliest time to exercise (it only matters for a put, since it's never optimal to early exercise a call)
  • European single-stock futures option pricing
  • Forward Time Centered Space Scheme
  • American single-stock futures option pricing & earliest time to exercise
[CODE]

Term Structure Lattice Models

  • Binomial lattice model of the short-rate
  • Fixed income derivative securities pricing:
    • zero-coupon bond
    • options on bond
    • bond forwards
    • bond futures
    • swaps, forward-start swaps
    • swaptions
  • The Forward Equation (elementary prices). Use this to price some fixed income derivative above
[CODE]