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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.

Stuart Smith
Wed 19 Jul 2023
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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.

Martin Krekel and Jan Partenheimer
Mon 17 Jul 2023
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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.

Andrei Khrennikov
Mon 17 Jul 2023
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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.

Quantpedia
Mon 17 Jul 2023
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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.

Scott Sobolewski
Fri 30 Jun 2023
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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.

A.I. Çekiç, Ralf Korn, and Ömür Ugur
Thu 22 Jun 2023
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Gambler's Ruin

The term “gambler’s ruin” is used for a number of statistical ideas whose common denominator is predicting the eventual outcome of a series of repeated bets.

Aaron Brown
Thu 22 Jun 2023
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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.

Quantpedia
Thu 22 Jun 2023
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From Within

In this article, Elie Ayache reviews the smile problem, explores how can it be interpreted and if people really understand it.

Elie Ayache
Fri 26 May 2023
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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.

Johannes Vitalis Siven, Michael Suchanecki and Rolf Poulsen
Fri 26 May 2023

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