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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."
Thu 14 Dec 2023
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.
Thu 14 Dec 2023
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.
Thu 14 Dec 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
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
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
Quantpedia Research Review - Issue 10
Issue 10 discusses how beta adjusting equity factor leads to better strategies, explores the top models for Natural Language Understanding (NLU), and provides an analysis of factor investing funds.
Tue 22 Aug 2023
