You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Maybe a segment on stock-based compensation? Restricted Stock Units (RSU), Performance Stock Units (PSU), and Employee Stock Purchase Plan (ESPP) seem to use a variety of methods. Not sure how cohesive it would be, but it does show up in the notes in earnings reports, so probably good to know.
Awesome video as always!!! Is it better to use this method to estimate the covariance matrix and use it as the initial covariance matrix in the DCC GARCH framework? Also, if possible, coud you do a video showing how to estimate a Flexible DCC GARCH (Billio, Caporin and Gobbo, 2006)?
I believe there is something wrong in your spreadshit, because Delta is defined as the frobonious norm, which means that you need to devide your delta estimation by the number of assets.
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Is there a spreadsheet to go with the video - cant see one on the drive
Hello Sava, Is there a spreadsheet to go with the video - cant see one on the drive
would you follow the same procedure with daily prices/returns?
Maybe a segment on stock-based compensation? Restricted Stock Units (RSU), Performance Stock Units (PSU), and Employee Stock Purchase Plan (ESPP) seem to use a variety of methods. Not sure how cohesive it would be, but it does show up in the notes in earnings reports, so probably good to know.
Awesome video as always!!! Is it better to use this method to estimate the covariance matrix and use it as the initial covariance matrix in the DCC GARCH framework? Also, if possible, coud you do a video showing how to estimate a Flexible DCC GARCH (Billio, Caporin and Gobbo, 2006)?
Hello Sava... thanks for sharing these videos.. can you also share a video on pricing of Range Accrual Swaps... Thanks a lot...
can it be used for a handful of stocks like 3 maybe?
legendary
I believe there is something wrong in your spreadshit, because Delta is defined as the frobonious norm, which means that you need to devide your delta estimation by the number of assets.