Money Math

“negatively priced lunch”

Markku Kurtti is an engineer in the telecom world. His outsider quant take on portfolio construction is beautifully derived and…

2 years ago

Volatility term structure from multiple angles (part 2)

In part 1 of Volatility term structure from multiple angles we opened by discussing how nearer dated implied vols move around more than deferred…

2 years ago

Options Riddle

I saw a familiar type of riddle on Twitter that was directed at fundamental PMs. I gave a lazy answer and later…

2 years ago

my aversion to trading implied skew

First of all, free subs to moontower.ai can access a few tools and reading materials as well as the community but they…

2 years ago

Volatility term structure from multiple angles (part 1)

The post Dragonfly Eyes served as a broad preamble to our exploration today. Be like a dragonfly — look through multiple…

2 years ago

tracking your portfolio and its risk

I'm working on a protype for a new tool called Moontower Portfolio. (It needs a better name, I know)  …

2 years ago

“How did you solve that math problem?”

The last few issues I’ve talked about mathacademy.com (no less than 7 readers are now doing it for themselves and/or…

2 years ago

a riddle related to American-style options

Friends, I saw a fun riddle this week. To get you in the right mindset before sharing it I’ll introduce…

2 years ago

crossing the commodity chasm

I was planning to publish a follow-up to last week’s derivative “income” bumhunting where I look closer at various ETF performances. I…

2 years ago

a winner that’s really a loser

The Earth rotates around the Sun at a speed of 67,000mph. When I go out for my occasional run, my…

2 years ago