Statistics
A Simple Derivation of the Black-Scholes Option Pricing Formula
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8 mins
Black-Scholes
Option-Pricing
Derivation
Statistics
A straightforward derivation of the famous option pricing formula using only basic probability and statistics. No stochastic calculus required!
Converting Between Fat-Tailed Distributions
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5 mins
Statistics
Fat-Tailed
Modeling
Distribution-Fitting
A set of rules of thumb that I’ve fit to convert between the most popular fat-tailed distributions.
How Risky is a Correlated Hedge?
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4 mins
Investing
Hedging
Correlation
Risk-Management
Statistics
A brief analysis of how much risk you can reduce by hedging with correlated assets. Even in a perfect world, a 90% correlation limits risk reduction to about 50%.