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Improving the Initial Margin Model
Stuart Smith examines ISDA’s response to the PRA’s comments of SIMM and explores the implications of this for the derivatives market.
Wed 19 Jul 2023
The Implied Loss Surface of CDOs
In this article, the authors describe how to determine the implied loss distribution of a credit portfolio from CDO tranche quotes.
Mon 17 Jul 2023
The Financial Heat Machine: Coupling With the Present Financial Crises
In this article, the author considers dynamics of financial markets as dynamics of expectations of people acting on them and discusses it from the point of view of phenomenological thermodynamics.
Mon 17 Jul 2023
Quantpedia Research Review - Issue 9
Issue 9 explores the importance of gold in investment portfolios, discusses the lack of standardization in ESG ratings, and discusses whether investors should systematically emphasize certain industries or countries to increase expected returns.
Mon 17 Jul 2023
Acadia’s Open-Source Risk Engine (ORE) - How its expanded functionality provides a real choice for firms
In this article, discover the Open-Source Risk Engine (ORE) - a standardized pricing and risk framework.
Fri 30 Jun 2023
A Mean-Square Approach to Constant Proportion Debt Obligations
In this paper, the authors show that the optimal leverage function for CPDOs in a mean-square sense coincides with the one used in practice.
Thu 22 Jun 2023
Quantpedia Research Review - Issue 8
Issue 8 compares In-Sample vs. Out-of-Sample trading strategies, evaluates the Skewness Model in commodities, and explores how to rebalance smart beta strategies.
Thu 22 Jun 2023
From Within
In this article, Elie Ayache reviews the smile problem, explores how can it be interpreted and if people really understand it.
Fri 26 May 2023
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
