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Close Encounters of the Third Order
The article discusses third-order implied volatility approximations for option pricing, as presented by Matt Lorig and colleagues, drawing a cultural parallel with the film "Close Encounters of the Third Kind."
Thu 14 Dec 2023
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.
Mon 17 Jul 2023
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
Quant Insights Conference: Factor Investing and the Road to Diversified Serfdom
In May 2022, the Quant Insights Conference held by the CQF Institute featured a panel discussion entitled, “Factor Investing and the Road to Diversified Serfdom.”
Mon 15 Aug 2022
Knock-in/out Margrabe
In this paper, Espen G. Haug and Jorgen Haug push the Black-Scholes-Merton (BSM) formula to the limit by using it to value exchange-one-asset-for-another options with knock-in or knock-out provisions that depend on the ratio of the two asset prices.
Tue 31 May 2022
A Mathematician on Wall Street: Berkshire Hathaway
From a cigar butt to a humidor full of Havanas, courtesy of Mr Buffett with Ed Thorp.
Mon 8 Feb 2021
Bridge with Buffett
“Investing in a market where people believe in efficiency is like playing bridge with someone who has been told it doesn’t do any good to look at the cards.” – Warren Buffett
Fri 19 Jun 2020
How to Succeed in Quant Investing with Big Data Analytics
In this article, Peter Hafez shares his views on what he believes is required to succeed in today's world of quant investing.
Wed 12 Sep 2018
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?
In this paper Dr. Sébastien Lleo and Dr. William T. Ziemba discuss the Swiss Black Swan Bad Scenario and who the winners and losers are.
Wed 29 Jul 2015
Timing the Bond Market
Edward Talisse, gives his view on stock-bond correlation in his latest article where he advises the best timing to invest bonds.
Wed 3 Sep 2014
