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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
Do not Forget the Economy when Estimating Default Probabilities
Traditional rating systems do not include macroeconomic variables. This article shows techniques to integrate macroeconomic information into a rating model and then illustrates how the macroeconomic variables improve the performance of a model for small and medium sized companies.
Tue 17 Jan 2023
What Happened to Currency Fixings?
This article explores the manipulations of currency fixings and how the fixing production has been reshaped.
Tue 17 Jan 2023
Quantpedia Research Review - Issue 3
Issue 3 reviews post-earnings announcement drift, stock-bond correlation and the role of interest rates in factor discovery. Plus, learn how you can model a 100-year history of your portfolio.
Tue 17 Jan 2023
Is Crypto The Next Frontier Of Opportunities For Quants?
Read a summary of the panel discussion from the 2022 Annual Quant Insights Conference.
Thu 8 Dec 2022
Introduction to Variance Swaps
This article introduces the properties of variance swaps, and gives insights into the hedging and valuation of these instruments from the particular lens of an option trader.
Thu 1 Dec 2022
Quantpedia Research Review - Issue 2
Issue 2 reviews the hidden costs of ETFs and new findings on overnight sentiment trading. We also investigate if insider trading is still a problem, and explore possible approaches to multi-strategy portfolio management.
Thu 24 Nov 2022
Internal LGD Estimation in Practice
Peter Glößner, Achim Steinbauer, Vesselka Ivanova discuss loss given default (LGD) in this article.
Thu 17 Nov 2022
The Great Investors, Their Methods and How We Evaluate Them: Theory
This article discusses a categorization of the efficient market camps which is related to how various people try to get an edge.
Mon 7 Nov 2022
Communication Best Practices in Quantitative Finance
Ed Ma gave a recent talk on ‘Communication Best Practices in Quantitative Finance’ – find out more about his advice and top tips.
Sat 22 Oct 2022
