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The Heston–Hull–White Model Part I: Finance and Analytics
This is the first article in a series of three on financial modeling. The aim of this series is to show the full life cycle of model development. We have chosen an equity model with stochastic volatility and stochastic interest rates.
Fri 5 Apr 2024
Negative Probabilities in Financial Modeling
The article explores the concept of negative probabilities and how they can be used in financial modeling, specifically in the valuation of certain financial options known as Caps and Floors.
Wed 3 Apr 2024
Quantpedia Research Review - Issue 17
Issue 17 delves into stock market concentration in the United States, discusses how to improve portfolios using mutual information, and explores the robust testing of country and asset ETF momentum strategies.
Mon 25 Mar 2024
American π: Piece of Cake?
Textbooks tell you that pricing an American option in the context of the binomial model is a lot easier than it sounds. Is it really simple and obvious? Yes…and no.
Wed 21 Feb 2024
Julia Computing: Automatic for the Greeks
In this article, Dr. Simon Byrne and Dr. Andrew Greenwell discuss fast and accurate price sensitivities using Julia.
Wed 21 Feb 2024
Quantpedia Research Review - Issue 16
Issue 16 introduces a new Pragmatic Asset Allocation Model, highlights the critical role of machine learning model execution time in empirical asset pricing, and explores if factor risks can explain crypto market returns.
Wed 21 Feb 2024
Time and Black–Scholes–Merton
The article contrasts the abstract nature of financial models like Black–Scholes–Merton with their application in real-world markets, highlighting the philosophical challenges of reconciling formal mathematical constructs with physical time and history.
Tue 23 Jan 2024
Peter Carr's Hall of Mirrors
Put-call symmetry may have been the start but, for Peter Carr, the importance of invariance extends into surprising realms of possibility. Dan Tudball traces Carr’s kaleidoscopic journey…
Tue 23 Jan 2024
Quantpedia Research Review - Issue 15
Issue 15 delves into the intricate relationship between cybersecurity risk and stock performance, discusses how inflation affects equity returns, and explores why US stocks outperform emerging and developed markets.
Tue 23 Jan 2024
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
