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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.
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.
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...
A Mathematician on Wall Street: Berkshire Hathaway
From a cigar butt to a humidor full of Havanas, courtesy of Mr Buffett with Ed Thorp.
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.
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.
An Introduction to Quantitative Finance
In this article, Dr. Randeep Gug, gives a brief introduction to quantitative finance.
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.
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.
Asset Shortage
The difference between the amount or stock of assets outstanding and its tradable flow adjusted float is rarely discussed by research analysts and advisors.
