I have uploaded a new model to the Models page of foquant.com.

This is a model that can be used to derive the Value at Risk for an investment in a single asset. It uses Hull’s “Model Building Approach” presented in his text, Fundamentals of Futures and Options Markets.

As with Black Scholes, I will be uploading variations and expansions of the model, which will include allowing multiple assets and incorporating the asset’s return into the VaR equation.

I have added a fully functional Models page to the foquant.com website. This page will be updated frequently with new financial models as I standardize and generalize existing ones, and create others. To kick things off, I have posted the first model, Black Scholes Model No Div Yld, which is a standard BSM Model used on an underlying that does not pay a dividend. Of course, variations of this model will be uploaded, including those that accept a dividend-paying underlying. Expansions will be uploaded as well, such as one that will calculate the greeks.

Whenever a new model is uploaded, I will create a post with its name and a brief description, and will add that post to the Models category in addition to the Models page.