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Conference Summary: ESG & Climate Risk in Quant Finance
Read a summary of the ESG & Climate Risk in Quant Finance Conference.
Sat 15 Oct 2022
Quantpedia Research Review - Issue 1
Issue 1 delves into the detail on overnight market anomalies and combining data sources for the dollar factor. We also look into different replication approaches for ETFs, and review new thinking on market timing strategies.
Mon 10 Oct 2022
The Chemistry of Contagious Defaults
In this article, the authors have obtained a dynamical Markovian model of default interactions that describes portfolio’s dynamics endogenously through the mechanism of chemical reactions.
Thu 1 Sep 2022
Trend followers lose more often than they gain
In this article, the authors solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution.
Thu 1 Sep 2022
Quant Insights Conference: Factor Investing and the Road to Diversified Serfdom
In May 2022, the Quant Insights Conference held by the CQF Institute featured a panel discussion entitled, “Factor Investing and the Road to Diversified Serfdom.”
Mon 15 Aug 2022
Calibration problems – An inverse problems view
In this article, Heniz W. Engl discusses the model parameters from market prices of liquid instruments.
Thu 21 Apr 2022
Software Frameworks in Quantitative Finance, Part I Fundamental Principles and Applications to Monte Carlo Methods
In this Wilmott article, Daniel J. Duffy and Joerg Kienitz discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance.
Tue 1 Feb 2022
Monte Carlo in Esperanto
This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo.
Thu 4 Nov 2021
Finformatics: How to Measure Really Small Things
The orthodoxy has tendency to ignore drift which leaves opportunity for finformaticians the market over…
Wed 15 Sep 2021
Life Settlements and Viaticals
Life settlements and viaticals are contracts associated with death. Life settlements are a secondary market for the life insurance policies held by individuals. These individuals may, typically later in life, want to sell their policy. The policy is usually worth a lot more than its surrender value. Many of these life insurance policies are then usually packaged together and sold as one product. To the quant, the question is how to model and price, and hedge, individual policies and portfolios of policies.
Thu 5 Aug 2021
