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The End of Growth?

In this article published by the Wilmott magazine, former banker and author, Satyajit Das, asks if this is the end of economic growth and what a world of no, or low rates of, growth will look like.

Satyajit Das
Tue 21 Apr 2020
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Potential Future Exposure Calculations Using the BGM Model

Within this paper the authors look at the BGM model in PFE calculations for various exotic interest rate products.

Wilmott
Thu 18 Jul 2019
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Managing Smile Risk

In this paper, it is discovered that the dynamics of the market smile predicted by local vol models is opposite of observed market behaviour. 

Wilmott
Sun 13 Jan 2019
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Transformers

In this column published in Wilmott Magazine, Mike Staunton discusses the Hilbert transform. 

Wilmott
Tue 13 Feb 2018
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Investing in Thoroughbred Race Horses

Bill Ziemba discusses the horse-racing investments at the highest level: actual horse ownership, as opposed to betting on the races.

Wilmott
Wed 24 Jan 2018
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Bond over Big Data - Trading bond futures (& FX) with RavenPack news data

The author uses the RavenPack Analytics Global Macro data to create news-based economic indices (NBESI) for the U.S., E.Z, U.K. and Japan which they then test against sovereign bond futures prices. 

The Thalesians - RavenPack
Thu 12 Oct 2017
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A “Multi-Topics” Approach to Building Quant Models

In this research, RavenPack demonstrate how their improved event detection technology allow investors to systematically identify key topics and market-moving events. 

RavenPack
Thu 12 Oct 2017
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IMPACT STUDY: Earnings Sentiment Consistently Outperforms Consensus

In RavenPack’s latest research, we find that their new earnings sentiment indicator derived from real-time news and social media significantly outperforms consensus estimates.

RavenPack
Tue 12 Sep 2017
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How to use Natural Language Processing for Multi-Topic Quant Investing

In this article, Peter Hafez discusses how investors need the right tools to cut through the noise to uncover the signal behind the latest move in the markets.

Peter Hafez
Wed 23 Aug 2017
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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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