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American π: Piece of Cake?

Textbooks tell you that pricing an American option in the context of the binomial model is a lot easier than it sounds. Is it really simple and obvious? Yes…and no.

Rolf Poulsen
Wed 21 Feb 2024
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Julia Computing: Automatic for the Greeks

In this article, Dr. Simon Byrne and Dr. Andrew Greenwell discuss fast and accurate price sensitivities using Julia.

Dr. Simon Byrne and Dr. Andrew Greenwell
Wed 21 Feb 2024
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Quantpedia Research Review - Issue 16

Issue 16 introduces a new Pragmatic Asset Allocation Model, highlights the critical role of machine learning model execution time in empirical asset pricing, and explores if factor risks can explain crypto market returns.

Quantpedia
Wed 21 Feb 2024
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Time and Black–Scholes–Merton

The article contrasts the abstract nature of financial models like Black–Scholes–Merton with their application in real-world markets, highlighting the philosophical challenges of reconciling formal mathematical constructs with physical time and history.

Elie Ayache
Tue 23 Jan 2024
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Peter Carr's Hall of Mirrors

Put-call symmetry may have been the start but, for Peter Carr, the importance of invariance extends into surprising realms of possibility. Dan Tudball traces Carr’s kaleidoscopic journey…

Dan Tudball
Tue 23 Jan 2024
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Quantpedia Research Review - Issue 15

Issue 15 delves into the intricate relationship between cybersecurity risk and stock performance, discusses how inflation affects equity returns, and explores why US stocks outperform emerging and developed markets.

Quantpedia
Tue 23 Jan 2024
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Close Encounters of the Third Order

The article discusses third-order implied volatility approximations for option pricing, as presented by Matt Lorig and colleagues, drawing a cultural parallel with the film "Close Encounters of the Third Kind."

Mike Staunton
Thu 14 Dec 2023
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Grid Monte Carlo in Portfolio CVA Valuation

This article proposes and discusses an efficient numerical technique, Grid Monte Carlo (GMC), for the risk-neutral valuation of portfolio CVA.

Dong Qu and Dingqui Zhu
Thu 14 Dec 2023
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Quantpedia Research Review - Issue 14

Issue 14 discusses the impact of financial influencers on market sentiment, the effectiveness of machine learning models in predicting stock returns with reduced biases, and the challenges of maintaining profitable machine learning strategies in increasingly efficient markets.

Quantpedia
Thu 14 Dec 2023
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The Heston–Hull–White Model Part II: Numerics and Examples

In this article, the authors review the methods for pricing European options using the Heston-Hull-White model.

Holger Kammeyer, Joerg Kienitz
Wed 15 Nov 2023

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