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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 Machine Learning-Based Trading Strategy Using Sentiment Analysis Data

In this white paper, Lucena found that constructing portfolios using RavenPack sentiment indicators jointly with traditional factors can result in significant outperformance versus...

Lucena Research - RavenPack
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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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An Introduction to Quantitative Finance

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

Randeep Gug
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Anything Built By the FED, Can Also Be Destroyed

In this commentary, Edward Talisse examines the year’s bond investment, looking closely at the USA and countries in Europe including Spain, Italy and Greece.

Edward Talisse
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Arbitrage-Free CMS Valuation - Watch out for the Correlations

CMS swaps (and other derivatives such as CMS caps or spread options) have become increasingly popular products in fixed-income markets. However, although a number of standard valuation formulas for CMS products exist, they very often include approximations or assumptions.

Guillaume Aubert