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Quantpedia Research Review - Issue 7

Issue 7 explores equity factor models, discusses how political beliefs impact fund managers’ decisions, and reviews the new BERT large language model (LLM).

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From Within

In this article, Elie Ayache reviews the smile problem, explores how can it be interpreted and if people really understand it.

Elie Ayache
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Barrier Options and Lumpy Dividends

In this article, the authors study the pricing of barrier options on stocks with lumpy dividends.

Johannes Vitalis Siven, Michael Suchanecki and Rolf Poulsen
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Quant Insights Conference: How Quantum Should Change the Way We Think About Finance

In this panel discussion led by David Orrell, Principal, Systems Forecasting, participants Professor Andrew Sheng, Chief Advisor, China Banking and Insurance Regulatory Commission, Esperanza Cuenca-Gómez, Head of Strategy and Outreach, Multiverse Computing, and Dr. Taha Jaffer, Head of Wholesale Banking and Treasury AI, Scotiabank, share their views on the current quantum evolution in finance.

David Orrell, Professor Andrew Sheng, Esperanza Cuenca-Gómez, Dr. Taha Jaffer
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Using Zweig’s Monetary and Momentum Models in the Modern Era

In this article, the author explores Mark Zweig's Monetary and Momentum Models and sees how well they work in our current markets with low interest rates and much programming and high-frequency trading.

William T. Ziemba
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The Little Heston Trap

This article explains the properties and relations between the two versions of the characteristic function in the Heston model, which are solutions to a Riccati equation. This is important for addressing numerical issues caused by "branching" in finance, which has been amplified by the development of the general option pricing formula by Carr and Madan.

Hansjörg Albrecher
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Quantpedia Research Review - Issue 6

Issue 6 investigates different variance risk premium strategies, explores the role of gold as a crisis hedge, and tests ChatGPT’s abilities.

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Developments and Applications in Machine Learning in Portfolio Management

Read a summary of the panel discussion from the 2023 Portfolio Management in Quant Finance Conference.

Barbara Mack
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Approximation of Continuous Monitoring with Discrete Monitoring Applied to Down—And—Out Options

In this paper, Stefan Ebenfeld and Damaris Hilzinger consider down—and—out options in the Black—Scholes framework.

Stefan Ebenfeld and Damaris Hilzinger
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The Fed Isn’t Federal – And Other Odd Things in Finance

In this paper, Rolf Poulson gives notice to misunderstandings in quantitative finance that range from amusing to genuine obstacles.

Rolf Poulsen