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A Conditional Valuation Approach for Path-Dependent Instruments

This paper focuses on the methodology for calculating the potential future exposure of path-dependent derivative instruments.

Dante Lomibao and Steven Zhu
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A Generalised Procedure for Locating the Optimal Capital Structure

This article presents a generalisation of an earlier approach for determining and locating the optimal capital structure of a corporate firm. 

Ruben D. Cohen
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A Markovian Model of Default Interactions: Comments and Extensions

This article analyses Davis and Lo (2001b) enhanced risk model, which is a dynamic version of the popular market model of infectious defaults of Davis and Lo (2001a).

Vladyslav Putyatin, David Prieul, Svetlana Maslova
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A Mathematician on Wall Street: Berkshire Hathaway

From a cigar butt to a humidor full of Havanas, courtesy of Mr Buffett with Ed Thorp.

Ed Thorp
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A Tale of Two Indexes Predicting Equity Market Downturns in China

Sebastien Lleo and William T. Ziemba investigate whether traditional crash predictors, predicts crashes for the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Composite Index.

Sebastien Lleo and William T. Ziemba
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A VaR-based Model for the Yield Curve

An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potential losses incurred from holding an underlying risky security until maturity. This result is also shown to tie in directly with the Capital Asset Pricing Model via the Sharpe Ratio. The conclusion here is that the normal yield curve can be characterised by a constant Sharpe Ratio, non-dimensionalised with respect to √T, where T is the bond maturity.

Ruben D. Cohen
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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. 

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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
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An Asymptotic FX Option Formula in the Cross Currency Libor Market Model

In this article, Atsushu Kawai and Peter Jäckel introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03]. 

Atsushu Kawai and Peter Jäckel
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An Introduction to Quantitative Finance

In this article, Dr. Randeep Gug, gives a brief introduction to quantitative finance.

Randeep Gug