Academic Projects | Financial Risk Management, LLC

Introduction to Derivatives and Risk Management

Wed, 10 Jan 2024 00:00:00 +0000

The materials presented here follow the table of contents of my co-authored book with Don M. Chance, An Introduction to Derivatives and Risk Management, 10th Edition. It is recommended that you acquire a copy prior working through this material. As the layout is topical, you should be able to use any undergraduate level book to supplement this material. The goal is to provide an introduction to the wild world of derivatives and examine how these financial instruments are used to efficiently and effectively manage various market risks.

Chapter 1: Introduction
U1.1 Financial Derivatives Introduction MP4
U1.2 Global Derivatives Markets MP4
U1.3 Airlines Jet Fuel Price Risk Management MP4
U1.4 Miscellaneous Materials MP4

Building Quantitative Finance Applications with R

Tue, 09 Jan 2024 00:00:00 +0000

Building Quantitative Finance Applications with R, is offered with two goals: First, assist financial analysts in developing their own unique quantitative financial models. Second, aid in tooling these analysts to express their models with the R computer language. Both goals are now easily within reach of the aspiring financial analyst. Every effort is made here to keep the R programming elementary .

Thus Building Quantitative Finance Applications with R is written to assist financial analysts to quickly learn to express their ideas in the R computer language.

Also quantitative finance is now widely applied in a variety of career fields. Quantitative financial analysts are now needed in a variety of different arenas. The ability for these analysts to express their own ideas in R is a highly valued skill.

Finance is a social science. Thus, as ideas about how certain financial products should be valued and managed evolve, the actual value and risk properties also change. Therefore, there will never be a “theory of everything” in finance. More likely, we should be surprised if there ever appears a “theory of anything” that endures for very long.

Because of the dynamic nature of financial markets, financial analysts need to be able to rapidly adapt their valuation and risk management models to changing times. Rather than rely on faulty communication between analysts and professional programmers, financial analysts can express their ideas in prototype R code. This ability dramatically reduces errors and allows financial analysts greater precision in expressing their ideas.

Building Quantitative Finance Applications with R is written for college students and entry-level financial analysts. No prior knowledge of programming is assumed. As with any language, having access to multiple sources when learning technical material is highly recommended. Therefore, it is assumed that you have access to several introductory R books or similar web-based materials.

There are several other books linking quantitative finance with computer programming. The approach taken here is distinctly different. Rather than present state-of-the-art programming techniques, we use only elementary R. Rarely do financial analysts want to become professional programmers. Rather, they want to rapidly learn how to express their unique analytical ideas in a form that the computer can run. Therefore, we focus on the minimal set of computer programming tools necessary to perform this task.

Although the book form is undecided, the expected publication date is early 2024. A draft version of each chapter, complete with R code, is freely available at http://robertebrooks.org/project/buildiingqfawr/. Further, there is a YouTube Channel dedicated to presenting this material even though the book is not finished. Please consider subscribing (and liking) @FRMHelpForYou. Channel direct link: https://www.youtube.com/@FRMHelpForYou

Foundations of Pricing Financial Derivatives

Mon, 08 Jan 2024 00:00:00 +0000

Foundations of Pricing Financial Derivatives is being written as a PhD-level book focusing on one of the most technical subjects in finance—derivative pricing theory. While the majority of finance faculty and PhD students will not specialize in derivatives, there is no doubt that a solid understanding of derivative pricing theory is an important element of doctoral level education in finance.

Derivative pricing theory, in particular the Black–Scholes–Merton (1973) model, has had a tremendous impact on finance. It has provided a framework for understanding not only standard derivatives, such as options, forwards, futures, and swaps, but it has also shown us that derivatives can explain many other topics and relationships in finance, such as callable bonds, convertible bonds, credit risk, and corporate capital structure. The impact of derivative pricing theory has been so great that Nobel Prizes were awarded in 1995 to Myron Scholes and Robert Merton with special recognition to the late Fischer Black for work on this subject. Yet, with the increasing need for students to take so many courses in econometrics and statistics, there is often little room in a doctoral program for such a course.

Foundations of Pricing Financial Derivatives will introduce the vast financial derivatives markets to PhD students in hopes that it will stimulate your interest in research related to financial derivatives as well as aid in your future research agenda, even if your agenda is not explicitly financial derivatives.

The expected publication date is in early 2021.