In this post we describe a nice algorithm for computing implied interest rates upper- and lower-bounds from European option quotes. These bounds tell you what…
Recovering Accurate Implied Dividend and Interest Rate Term-Structures from Option Prices
In this post we discuss the algorithms we use to accurately recover implied dividend and interest rates from option markets. Implied dividends and interest rates…
Validating your Trading Backtests with Surrogate Time-Series
Back-testing trading strategies is a dangerous business because there is a high risk you will keep tweaking your trading strategy model to make the back-test…