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Stock Market Crashes in 2007 - 2009: Were We Able to Predict Them?

In this article, Sebastien Lleo and William T. Ziemba investigate the stock market crashes in China, Iceland and the US in the 2007 - 2009 period.

Sebastien Lleo and William T. Ziemba
Mon 27 Mar 2017
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A Tale of Two Indexes Predicting Equity Market Downturns in China

Sebastien Lleo and William T. Ziemba investigate whether traditional crash predictors, predicts crashes for the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Composite Index.

Sebastien Lleo and William T. Ziemba
Mon 20 Mar 2017
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Sell in May and Go Away in the Equity Index Futures Markets

Constantine Dzhabarov and William T. Ziemba explain when the best time is to sell in the index futures markets.

Constantine Dzhabarov and William T. Ziemba
Mon 13 Mar 2017
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Index-tracking Portfolio Optimization Model

In the present tutorial report Guillermo Navas-Palencia examines the theory and computational aspects behind the index-tracking portfolio optimization model.

Guillermo Navas-Palencia
Thu 24 Nov 2016
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Intellectual Property Law: A Briefing for Quants

In this article Barbara Mack gives a briefing for Quants on the Intellectual Property Law, covering the U.S. intellectual property regime, and the four types of protectable assets: copyright, trademark, trade secret and patent.

Barbara Mack
Fri 23 Sep 2016
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Pricing Bermudan Swaptions on the LIBOR Market Model

In this article, Stef Maree and Jacques du Toit examine using the Stochastic Grid Bundling Method to price a Bermudan swaption driven by a one-factor LIBOR Market Model.

Stef Maree & Jacques du Toit
Mon 12 Sep 2016
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Mathematics in Finance – The Unfair Advantage

In this article, Dr. Riaz Ahmad explains how finance continues to benefit from the effect of mathematics and gives it an unfair advantage.

Riaz Ahmad
Thu 4 Aug 2016
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Explorations in Asset Returns

In this white paper CQF faculty member Dr. Richard Diamond provides an in-depth exploration in asset returns.

Richard Diamond
Sun 24 Jul 2016
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Portfolio Credit Risk: Introduction

This technical report from nag examines the main theoretical aspects in models used in Portfolio credit risk.

Guillermo Navas-Palencia
Thu 2 Jun 2016
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Paul Wilmott's Blog: The Only Question You Need to Ask About the EU Referendum

CQF founder Dr. Paul Wilmott has his say on the upcoming EU Referendum in the UK.

Paul Wilmott
Thu 21 Apr 2016

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