Articles by Dominykas Grigonis

RWE npower Forecasting Challenge

January 26, 2015 | Dominykas Grigonis

Lately I have been involved in organising forecasting competition for undergraduate students. The obvious goal is to find someone with forecasting power who would potentially be interested in internship or graduate scheme. Recently, I asked a few people from quant and forecasting teams to try the task out in order ... [Read more...]

Variance Swap Replcation in R.

July 6, 2013 | Dominykas Grigonis

As I was studying volatility derivatives I made some charts that represent some key features of replication. Say variance swap has a payoff function \(f=(\sigma^2 - K_{VOL}) \), which means that \(K_{VOL}\) will most likely be the forward volatility cl... [Read more...]

Variance Swap Replication in R.

July 6, 2013 | Dominykas Grigonis

As I was studying volatility derivatives I made some charts that represent some key features of replication. Say variance swap has a payoff function \(f=(\sigma - K_{VOL}) \), which means that \(K_{VOL}\) will most likely be the forward volatility clos... [Read more...]

Technical(and not technical) strategy testing

June 25, 2013 | Dominykas Grigonis

I got "hooked" on OOP approach of R in particular reference classes. And after my last little project on option scenario analysis I reconstructed my messy technical strategy testing code.Now to begin I would like to reason why I have done this while there exists a nice "blotter" and "...
[Read more...]

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