This post is about SVD for investment analysis. What is Singular Value Decomposition For a set of orthogonal vectors, after a linear transformation, their magnitudes may change, but they can still...

This post is review of “Option Pricing with Markov Switching” by Cheng-Der Fuh, Kwok Wah Remus Ho, Inchi Hu and Ren-Her Wang. This paper introduce Regime Switching Model using Hidden Markov Model f...

In the realm of financial planning, incorporating risk into investment decisions is paramount. This post explores a stochastic programming model aimed at optimizing investment strategies over a giv...

This post is about methodologies to measure private investment return (python code included). Reference for this post can be found in INSEAD case studies. Full python code can be found in my GitHub...

This post is about sector ETF analysis with Famma French factors. Which factors are used in this post? Factor is statiscal method to analyze impact of variable to data. For example, if many invest...

This post is about sector ETF analysis with Famma French factors. What is factors for sector ETF? If we invest in sector ETF such as Technology sector ETF(IYW), we might question what is important...

This post is about credit default swap. Though CDS is not familiar, CDS can be used to protect from credit risk and market risk. If you heavily invest on foreign currency based bond for long term, ...

This post is about cross currency swap. Though CCS is not familiar, IRS can offer interest rate risk - currency rate risk mitigation. If you heavily invest on foreign currency based asset classes f...

This post is about interest rate swap. Though IRS is not familiar, IRS can offer interest rate risk mitigation or chance to seize from interest rate fluctuation. What is Interest Rate Swap Interes...

This post is about swap curve. You might heard about swap and curve independtly. But swap curve is required to price interest rate swap(IRS) and cross currency swap(CCS). What is Swap Curve Swap r...