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Index-tracking Portfolio Optimization Model

In the present tutorial report Guillermo Navas-Palencia examines the theory and computational aspects behind the index-tracking portfolio optimization model.

Guillermo Navas-Palencia
Thu 24 Nov 2016
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Pricing Bermudan Swaptions on the LIBOR Market Model

In this article, Stef Maree and Jacques du Toit examine using the Stochastic Grid Bundling Method to price a Bermudan swaption driven by a one-factor LIBOR Market Model.

Stef Maree & Jacques du Toit
Mon 12 Sep 2016
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Review of the For Python Quants Conference

CQF delegate Barbara Mack, shares her thoughts on the 2015 For Python Quants Conference in New York.

Barbara Mack
Mon 15 Jun 2015
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The Honest Truth about Dishonesty: Market Manipulation and Why Some Strings are More Powerful than Others

This short piece by Edward Talisse looks at the ways in which financial institutions and individuals have manipulated the market over the years and what it means for the future.

Edward Talisse
Fri 24 Apr 2015
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CUDA Programming Using Wolfram Finance Platform

This document describes the benefits of CUDA integration in Wolfram Finance Platform and provides some applications for which it is suitable.

Wolfram
Wed 25 Mar 2015
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The Meerkat Effect: Personality and Market Returns Affect Investors’ Portfolio Monitoring Behavior

In this article the authors apply generalised non-linear mixed effects models to test for this selective information monitoring at an individual level in a new sample of active online investors.

Svetlana Gherzi et al.
Mon 9 Mar 2015
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Cash Only

There are only two times in your life when you will need money: now and later. Hopefully, you are prepared for both occasions and if not, don't worry - there is plenty to go around!

Edward Talisse
Fri 19 Sep 2014
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Dead on Arrival - Living Wills and Liquidity

With surprisingly little fanfare, the Federal Reserve and other prudential regulators completely rejected the ‘Living Wills’ submitted by eleven of the largest U.S. Bank Holding Companies (BHCs).

Edward Talisse
Thu 4 Sep 2014

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