# Tag Archives: Excel

## Copulas in Excel. Theoretical foundations.

Building Copulas in Excel. Foundations. Copulas – revisiting the definition. In our first lesson on Copulas in Excel we introduced the concept of marginal (individual) distributions for the two blends of crude oil we are interested in modeling. We also spoke about a joint distribution

## Calculating Economic Capital – A Case Study

Method One Our alternate model for calculating Economic Capital comes in a multiple variation. We do a detailed presentation for method one, followed by smaller posts on each variation. Method one use changes in Shareholders equity as reported in publicly disclosed financial statements to build

## Option Greeks – Building the Excel Solver model for hedging Greeks

Option Greeks – Building the Solver model for hedging Greeks Our first attempt to hedge higher order Greeks is a simple illustrative scenario with a single option contract. We start off where we stopped in lesson one on hedging higher order Greeks. We have sold (written)

## Calculating Forward Implied Volatility in Excel

Calculatingforward implied volatility in Excel. For path dependent and forward starting options it is important to assess Vega, the sensitivity of the option’s value to changes in volatility, and in particular to assess these sensitivities for forward buckets. A first step in this process is

## Creating the volatility surface dataset using implied volatilities

Creating the implied volatility surface dataset for building The downloaded implied volatility dataset from your volatility data sources generally includes the following information: Figure 1 Raw Implied Volatility dataset For a quarterly sample data snapshot on a daily basis it is not uncommon to end

## Building implied and local volatility surfaces in Excel tutorial – coming soon

Volatility surfaces – everything you ever wanted to know but were afraid to ask. Volatility Surfaces, for an option pricing student, is that dark corner of the room that you don’t want to venture into after seeing a really classy horror movie. For the last

## Data Analysis Excel. Five tools in 20 minutes

Excel Data Analysis Yesterday I ran a short twenty minute session for 60 civil activists participating in the city’s first civic hackathon. The topic was data analysis in Excel. Here are my notes from the session on data analysis excel. As a data specialist there

## Excel Correlation – Plotting time series data graphs in Excel

Excel Correlation – A quick introduction. We take a quick look at plotting data and price series in Excel for correlation analysis and presentation. The plot lesson is different from the actual correlation calculation lesson which is covered separately in another post. Looking at a