quantitative-finance

Classroom and assignments codes for Quantitative Finance (2020), in Applied Mathematics course at Getulio Vargas Foundation.

See the professor's webpage.

Topics covered:

• List 1:
  • Value at risk (VaR);
  • Kernel density estimate;
  • Q-Q plots;
  • Random number generator.
• List 1 extra:
  • Volatility smile.
• List 2:
  • Mean excess function;
  • Generalized Pareto distributions;
  • Fit of GPD to data.
• Lists 3 & 4:
  • Correlation and independence;
  • Copulas;
  • Multivariate normal distribution;
  • Multivariate distribution sample generation;
  • Principal component analysis (PCA).
• List 5:
  • Linear regression:
    • Simple;
    • Multiple;
    • Least squares;
    • Least absolute deviations;
    • Non-linear.
  • Term structure of interest rates:
    • Zero coupon bond;
    • Yield;
    • Forward rate.
  • Capital Asset Pricing Model (CAPM) and IBOVESPA.
• List 6:
  • Time series;
  • Stationarity and invertibility;
  • Monte Carlo simulations;
  • Dickey-Fuller and augmented DF tests;
  • Random Walk with Drift.

Look at the GOOGL call option volatility smile (expiration date on 2020-03-20):