Month: November 2016

The early days of Quantitative Finance
A lot of people start studying Quantitative Finance because they see it as a great way to earn money. It seems indeed reasonable that somebody with great mathematical skills would be looking for opportunities allowing him to make a profit — sometimes at the expense of others. I can still remember like yesterday seeing a…

Implied odds behind lay betting
In a precedent post, I introduced the concept of back and lay bets on a given event, for example the fact that it will rain on a given day. We also said that we are given some odds $o$, which express how much we can earn if we guess the right outcome between the event…

Expected Shortfall closedform for Normal distribution
Today, I would like to share a little exercise I did to compute the Expected Shortfall of a normal variable. For those of you who are not familiar with this risk measure, it evaluates the average of the $(1\alpha)$worst outcomes of a probability distribution (example and formal definition follow). If you have enough data, the…