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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.
Wed 15 Nov 2023
Optimal Hedging Strategies With an Application to Hedge Fund Replication
In this paper, the authors discuss the technical challenges of implementing a multivariate extension of Dybvig (1988) model and discuss the possible solutions.
Wed 15 Nov 2023
Quantpedia Research Review - Issue 13
Issue 13 examines the strategies of Time Invariant Portfolio Protection, discusses how different investors and their strategies influence anomaly returns, and revisits the potential of OpenAI's ChatGPT for backtesting.
Wed 15 Nov 2023
CQF Program Celebrates its 20th Anniversary with Record-Breaking Number of Graduates
The Certificate in Quantitative Finance (CQF) program has double the reason to celebrate this year. Not only does this year mark the CQF's 20th anniversary, but also the highest number of CQF delegates in the program's two-decade history have successfully graduated in the most recent cohort.
Mon 23 Oct 2023
Primer on Arbitrage and Asset Pricing
In this paper, the authors go back to basics with arbitrage and asset pricing.
Thu 19 Oct 2023
CDOs in Chains
In this paper, the authors explore the pricing of CDOs in a Markov chain framework.
Thu 19 Oct 2023
Quantpedia Research Review - Issue 12
Issue 12 explores seasonal patterns related to Bitcoin, investigates the diversification potential of commodities, and discusses how machine learning can be used in quantitative trading.
Thu 19 Oct 2023
Quantpedia Research Review - Issue 11
Issue 11 explores technical analysis patterns, investigates long-short anomaly portfolio return predictability, and discusses the performance of factor strategies in India.
Fri 29 Sep 2023
An Introduction to the Generalized Marginal Risk
In this paper, the authors present the concept of generalized marginal risk.
Fri 22 Sep 2023
The Value of Liquidity
In this article, the authors present a game-theoretic example that helps to illustrate the value of liquidity.
Tue 22 Aug 2023
