Recently Published
Comparing Price to Earnings Ratio - Yahoo Finance
Using Live Yahoo Finance Data to analyze the E/P ratio relative to the lagged change in percent earnings
Forecasting Predicted Returns
This analysis shows that variables like dividend yield, market-book ratio, and yield spread can be used to make a reasonable prediction on stock returns.
Predicting Volatility in Returns
Testing predictability on 12 month lagged returns on investments, using ARIMA, ARCH, & GARCH. Primarily testing Black’s theory that “negative returns are followed by larger increases in volatility than positive returns.”
Derivatives - Functions for Black Scholes & Monte Carlo
Functions and plots for Black-Scholes and Monte-Carlo Simulation for vanilla call options, European call options, and down-and-out put options.
Derivatives - Functions for Pricing Call Options with Binomial Models/Trees
Function code for pricing European options, American options, Asian options, Binomial models/trees, and Straddle Trades.