Credit Default Protection received reasonably unappealing press over the past few years. But if price is the core signal, then where are we now that prices are cheap?
Category Archive for 'Analysis'
This section covers article of an analytical nature that include more in depth analysis over the subject. You are able to glean new background data on trending topics and their underlying assumptions. As always, please feel free to contact me if you’d like any further information over any of the listed articles.
This article reviews the potential for five year fixed for floating swap spreads in highlighting some shifts in core inflation measures as they relate to the US Economy.
VIX is a market estimate of expected volatility measured over S&P 500 options. But how does the implied volatility of a volatility estimate vary over strike range and term structure? This article reviews VIX’ smiling smirk and the reasons for its formation.
Trinomial Option Pricing Trees offer a fair-value lattice-model for both American and Bermuda styled options. The pricing tree can also be modified to suit more specific modelling purposes. A short applescript was created for the purpose of creating trinomial trees in Microsoft Mac Excel 2008.
Milton Friedman famously reviewed the business cycle with his ‘Plucking Model’ as a strong refutation of Austrian Business Cycle theorists and doomsayers. This article is a nod and tip-of-the-hat to the current success of ultra-stimulatory monetarist policies.
VIX is moving again and, as in her habit, she is moving hard and fast. If you like that kind of rough tumble action then this post might give you some insights into her enticing curves.
The US Government showdown promises to be a headline grabber over the next few months. But could a gridlock yield positive news for the global economy?