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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.
Mon 20 Mar 2017
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.
Mon 13 Mar 2017
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.
Thu 24 Nov 2016
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.
Fri 23 Sep 2016
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.
Mon 12 Sep 2016
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.
Thu 4 Aug 2016
Explorations in Asset Returns
In this white paper CQF faculty member Dr. Richard Diamond provides an in-depth exploration in asset returns.
Sun 24 Jul 2016
Portfolio Credit Risk: Introduction
This technical report from nag examines the main theoretical aspects in models used in Portfolio credit risk.
Thu 2 Jun 2016
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.
Thu 21 Apr 2016
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?
In this paper Dr. Sébastien Lleo and Dr. William T. Ziemba discuss the Swiss Black Swan Bad Scenario and who the winners and losers are.
Wed 29 Jul 2015
