This video gives an introduction to the Investment Simulation module1 as well as the investment simulation and stationary transformations theory presented in the Portfolio Construction and Risk Management book2.
The video goes through the first example, showing you how to compute the stationary transformations in Python.
Next, there is a presentation of the Fully Flexible Resampling method including a case study where the one-month at-the-money-forward (ATMF) implied volatility is used as the state variable, subsequently combined with the slope of the interest rate curve to show you how you can condition on multiple state variables.
For a cohesive presentation of all the above methods, see Chapter 3 in the Portfolio Construction and Risk Management book.
For a detail mathematical presentation of the Fully Flexible Resampling method and more generally its Time- and State-Dependent Resampling class, see the Time- and State-Dependent Resampling article3.
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Fortitudo Technologies solutions page: https://fortitudo.tech/solutions
Portfolio Construction and Risk Management book: https://antonvorobets.substack.com/p/pcrm-book
Time- and State-Dependent Resampling SSRN article: https://ssrn.com/abstract=5117589
Anton Vorobets, Next Generation Investment Analysis @ The London Quant Club YouTube video
