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Barrier Options and Lumpy Dividends
In this article, the authors study the pricing of barrier options on stocks with lumpy dividends.
Fri 26 May 2023
Quantpedia Research Review - Issue 7
Issue 7 explores equity factor models, discusses how political beliefs impact fund managers’ decisions, and reviews the new BERT large language model (LLM).
Thu 25 May 2023
Quant Insights Conference: How Quantum Should Change the Way We Think About Finance
In this panel discussion led by David Orrell, Principal, Systems Forecasting, participants Professor Andrew Sheng, Chief Advisor, China Banking and Insurance Regulatory Commission, Esperanza Cuenca-Gómez, Head of Strategy and Outreach, Multiverse Computing, and Dr. Taha Jaffer, Head of Wholesale Banking and Treasury AI, Scotiabank, share their views on the current quantum evolution in finance.
Mon 1 May 2023
Using Zweig’s Monetary and Momentum Models in the Modern Era
In this article, the author explores Mark Zweig's Monetary and Momentum Models and sees how well they work in our current markets with low interest rates and much programming and high-frequency trading.
Wed 19 Apr 2023
The Little Heston Trap
This article explains the properties and relations between the two versions of the characteristic function in the Heston model, which are solutions to a Riccati equation. This is important for addressing numerical issues caused by "branching" in finance, which has been amplified by the development of the general option pricing formula by Carr and Madan.
Wed 19 Apr 2023
Quantpedia Research Review - Issue 6
Issue 6 investigates different variance risk premium strategies, explores the role of gold as a crisis hedge, and tests ChatGPT’s abilities.
Wed 19 Apr 2023
Developments and Applications in Machine Learning in Portfolio Management
Read a summary of the panel discussion from the 2023 Portfolio Management in Quant Finance Conference.
Fri 14 Apr 2023
Quantpedia Research Review - Issue 5
Issue 5 explores ESG funds and greenwashing, reviews size factor as an investment choice and investigates price reaction around Bitcoin and Ethereum networks.
Thu 23 Mar 2023
The Fed Isn’t Federal – And Other Odd Things in Finance
In this paper, Rolf Poulson gives notice to misunderstandings in quantitative finance that range from amusing to genuine obstacles.
Thu 23 Mar 2023
Approximation of Continuous Monitoring with Discrete Monitoring Applied to Down—And—Out Options
In this paper, Stefan Ebenfeld and Damaris Hilzinger consider down—and—out options in the Black—Scholes framework.
Thu 23 Mar 2023
