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FX Volatility Smile Construction
The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied volatility smile.
Wed 27 Nov 2024
A Market Model of Interest Rates With Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies
The recent financial crisis caused dramatic widening and elevated volatilities among basis spreads in cross-currency as well as domestic interest rate markets.
Fri 22 Nov 2024
CQF Celebrates Another Record-Breaking Number of Graduates
The Certificate in Quantitative Finance (CQF) is proud to introduce the latest program graduates. This is the 43rd cohort of delegates to successfully complete the qualification and celebrates a record-breaking number of graduates to complete the program.
Thu 7 Nov 2024
Methods for Constructing a Yield Curve
In this paper we survey a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves.
Sun 3 Nov 2024
Quantpedia Research Review - Issue 23
Issue 23 revisits Bitcoin Trend-following and Mean-reversion strategies, assessing performance from November 2015 to August 2024 amid market shifts. It also explores enhancing commodity momentum with an intra-market correlation filter and examines a study on the impact of monetary policy and risk sentiment on crypto asset prices.
Thu 31 Oct 2024
Robust and Stable Capital Allocation
Capital allocation of credit risk is one of the key concepts of modern value based bank management. In order to conduct business decisions according to some risk-reward relationship the reliability of capital allocation figures on transaction level is most critical.
Mon 21 Oct 2024
Callable Swaps, Snowballs, and Videogames
Although economically more meaningful than the alternatives, short rate models have been dismissed for financial engineering applications in favor of market models as the latter are more flexible and best suited to cluster computing implementations.
Fri 18 Oct 2024
Multivariate Smiling
The paper presents an application of the Variance-Gamma distribution to price multivariate derivatives. The paper focuses on the practical implementation of the model in a multivariate setting.
Sat 5 Oct 2024
Quantpedia Research Review - Issue 22
Issue 22 explores machine-learning-based trading strategies, noting their potential for positive net returns despite high costs. It also examines the long-term outperformance of equal-weighted benchmark portfolios over market-cap-weighted ones and introduces the P-CAPE ratio, which includes the dividend payout ratio to enhance return estimations.
Mon 30 Sep 2024
Dynamic Hedging is Dead! Long Live Static Hedging!
We consider the pricing of options in a mean-variance framework in the complete absence of any dynamic (delta) hedging. We describe the concept, and how to reduce risk by static hedging only, in both stochastic volatility and jump-diffusion models, giving some results for the latter.
Mon 30 Sep 2024
