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Optimal Hedging Strategies With an Application to Hedge Fund Replication

In this paper, the authors discuss the technical challenges of implementing a multivariate extension of Dybvig (1988) model and discuss the possible solutions.

Alexandre Hocquard, Nicolas Papageorgiou, Bruno Rémillard
Wed 15 Nov 2023
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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).

Bruce Bartlett
Tue 21 Feb 2023
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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.

Sebastien Bossu
Thu 1 Dec 2022
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Amaranthus Extermino

What does the 2006 Amaranth Advisors natural gas hedge fund disaster tell us about the state of hedge funds?

Bill Ziemba and Rachel Ziemba
Tue 4 Jan 2022
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Introduction to Variance Swaps

The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader.

Sebastien Bossu
Tue 7 Dec 2021
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Numerical Methods for the Markov Functional Model

Some numerical methods for efficient implementation of the 1- and 2-factor Markov Functional models of interest rate derivatives are proposed.

Simon Johnson
Thu 4 Nov 2021
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What I Knew and When I Knew It - Part 2

Mathematician, Ed Thorp, looks back to the creation of the world's first market-neutral hedge fund and pre-empting Black-Scholes.

Ed Thorp
Tue 25 Aug 2020
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Sensible Sensitivities for the SABR Model

In this article published by the Wilmott magazine, Chibane, Miao and Xu develop a new methodology for computing smile sensitivities (Vegas) for European securities priced under the SABR model when the latter is calibrated to more market volatilities than the number of available model parameters.

Messaoud Chibane, Hong Miao, and Chenghai Xu
Tue 19 May 2020
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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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Black-Litterman in Continuous Time: The Case for Filtering

Dr. Mark Davis and Dr. Sébastien Lleo extend the Black–Litterman approach to a continuous time setting.

Mark Davis & Sébastien Lleo
Fri 13 Feb 2015

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