Mission Statement

There came the day, through forces beyond my control, that I needed to get a job. Being the mathy type, heading to a bank to work as a Quant seemed the thing to do.  All my powers of rapidly absorbing information and learning new stuff was put to the test. From pricing exotic derivatives, toying with Risk models, and writing logs of meetings (urrgh). All the while, immersed in a sea of financial jargon.

I often found that there was a lack of concise descriptions of many of these concepts in finance. Try and pick-up a textbook that will give you the low down on Black-Scholes in less then 30 pages. There are also some tools that are scarcely defined with precision. From a mathematician's point of view, this is unacceptable.  I feel that VaR methods often fall in this category. Lots of talk when all that was needed is a few lines of neat algebra.

Which brings us to the chase. My objective here, with a few lessons, is to jump start you into being a functional Quant. I will do this with a touch of humor, a mix of intuitive explanations and without forfeiting formalities.  Sorry, but blabla will only take you so far, you need maths. Initially I will focus on Market Risk. Here a list of likely lessons to appear

• Black-Scholes for simple options
• VaR for single asset
• Aggregating VaR of a portfolio: What are we assuming?
• Hull-White VaR method 
• Simulating Basket Options
• CVaR: Expected to fall upon us all shortly 
• Interest Rate Curves and arbitrage
• Volatility Surface and arbitrage
• ?