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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
Quantitative Finance: Skills of the Future
Read the write-up from the February 2023 careers talk, 'Quantitative Finance: Skills of the Future'.
Mon 27 Feb 2023
Quantpedia Research Review - Issue 4
Issue 4 explores the use of quantum computers in finance, reviews Patent-to-Market trading strategies and discusses how the news impacts Bitcoin returns.
Wed 22 Feb 2023
Derivatives Technology as a Matter of Survival
This article explores the use of electronic banking of derivatives or investment products containing derivatives.
Tue 21 Feb 2023
Hedging under SABR Model
This article takes a fresh look at the delta and vega risks within the SABR stochastic volatility model Hagan et al. (2002).
Tue 21 Feb 2023
