Here are some posts I need to make this year, before I forget them more than I already do:
- Go through the theory behind the Schonbucher implied volatility model, and show how to apply it to the FX options market.
- Various features of the LIBOR Market Model, for example how to go about modelling the short stub.
- Explaining the bang-bang style feature of swing options.
- Short rate models and HJM models. A brief excursion.
- XVA. Some simple examples of CVA and DVA on a a futures spread, then BCVA, then perhaps FVA.
- VaR. Lots of excursions. Just one: Monte Carlo VaR, where both the underlying asset and the diffusion coefficient of the underlying asset have lognormal style SDE’s, with some correlation parameter.
- My analysis of who is the greatest modern tennis player. Rather than just looking at the numbers of major titles won, the GOAT metric takes into account the number of finals, semi-finals, etc.
- Equity and rate hybrid derivatives. An excursion, nothing more. Simple HJM-1F style model.
- Terminal swap rate models, namely linear and exponential. Used for CMS derivatives.
- Variance reduction methods for vanilla Monte Carlo. A bit of fun.
Naturally, there will be other stuff.
If I can manage to get out just one of these posts, it will be a success. Let us see how I do.
Arbias Hashani 