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Harbourfront Quantitative Finance

Nam Nguyen Ph.D.

Delivering actionable tips, strategies, and educational content to help you excel in trading and master quantitative finance concepts. I send out a newsletter once a week. Throughout the week I also publish web-only posts and Notes.

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Issues507Founded2 years agoLast Issue8 days ago
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Artwork for Harbourfront Quantitative Finance

Latest Issues

An Application of Volatility Estimators

Volatility estimators are a useful tool in volatility trading and risk management. We have discussed several types of volatility estimators, ranging from the simple Close-to-Close Historical Volatility to more complex ones like the Garman-K...

8 days ago
3

Path Dependence in Option P&L

The P&L attribution of an option portfolio is highly important, as it aids in portfolio and risk management. Most often, the daily P&L of an option is broken down into four components: theta, delta, gamma, and vega. This decomposition works...

9 days ago
7

Do Arbitrage Opportunities Still Exist?

The arbitrage principle is one of the cornerstones of modern finance, and it’s being used widely, from derivative pricing to hedging, trading, and risk management. Theoretically, there is only one arbitrage principle. Practically, however,...

12 days ago
8

Impact of Spot-Volatility Correlation on Option Returns

It is well known that equity indices tend to exhibit a negative correlation with their volatility. There is some research on this relationship, often linking it to the leverage effect. Recently, we observed that the equity market has been b...

13 days ago
7
1

Is Cointegration the Best Method for Pairs Trading?

Pairs trading is a classic “market-neutral” trading strategy. Previously, we highlighted an article that claims that cointegration is a superior method for selecting pairs [1].

Reference [2] examined more pair selection methods. Specifical...

15 days ago
7
2

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  • Nam Nguyen Ph.D.

    Director at NN² Capital and Harbourfront Technologies. Writes about Trading Strategies, Risk Management, Financial Derivatives, Career Perspectives and More

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