Publications by Charlotte Smith
Comparing Price to Earnings Ratio - Yahoo Finance
Contents i. Executive Summary ii. Conclusion iii. Code Executive Summary Using Live Yahoo Finance Data to analyze the E/P ratio relative to the lagged change in percent earnings . The E/P ratio is the earning yields for stock, and is the inverse of /the P/E price to earnings of stocks. The P/E ratio further is the ratio of the market...
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Derivatives - Functions for Black Scholes & Monte Carlo
EXECUTIVE SUMMARY The below code creates functions and plots for Black-Scholes and Monte-Carlo Simulation for vanilla call options, european call options, and down-and-out put options. It also examines exotic options, hedging portfolios for large price movements, associated transactions costs, and builds a Heston model. Note : The code uses prede...
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Forecasting Predicted Returns
## Error in get(genname, envir = envir) : object 'testthat_print' not found CONTENTS i. EXECUTIVE SUMMARY ii. ANALYSIS iii. PROCESS 1.1 Methodology 1.2 Data Cleaning 1.3 Time Series Return Plots & Regression Outputs 1.4 Mathematical Proof for Forecasting Predictions 2. Expected Return v Forecast 2....
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Predicting Volatility in Returns
EXECUTIVE SUMMARY This analysis uses Fama-French factor estimates on S&P 500 equities, and then explores the best model for volatility using such factors. Due to high predictability on 12 month lagged returns on investments, we can thus use different models to predict volatility. Primarily testing Black’s theory that “negative returns are fol...
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Annual Returns S&P 500
i. EXECUTIVE SUMMARY ii. ANALYSIS iii. TABLES & FIGURES iv. CODE EXECUTIVE SUMMARY I calculate the annual compounded rates of return for each stock in the S&P500 from January 1926 through December 2019. I do this by calculating the rate of compounded growth in each stock’s market cap from year to year; specifically, I do not calculate the rate...
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Derivatives - Functions for Pricing Call Options with Binomial Models/Trees
EXECUTIVE SUMMARY The below code creates functions and plots for pricing European options, American options, Asian options, Binomial models/trees, and straddles. Note : The code uses predetermine inputs for all models. CONTENTS i. Pricing European Options & Binomial Models/Trees ii. Straddle Pricing iii.Pricing American Options iv. Discrete Divi...
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