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Can anyone solve the smile problem?

Within this paper the authors explore whether the smile problem can be solved and provide a general reflection of the problem. 

Wilmott
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Can Warren Buffett Also Predict Equity Market Downturns?

In this paper, Dr. Sébastien Lleo and Dr. William T. Ziemba investigate whether this ratio is a statistically significant predictor of equity market downturns.

Séb Lleo & William Ziemba
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Cash Only

There are only two times in your life when you will need money: now and later. Hopefully, you are prepared for both occasions and if not, don't worry - there is plenty to go around!

Edward Talisse
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CUDA Programming Using Wolfram Finance Platform

This document describes the benefits of CUDA integration in Wolfram Finance Platform and provides some applications for which it is suitable.

Wolfram
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Dead on Arrival - Living Wills and Liquidity

With surprisingly little fanfare, the Federal Reserve and other prudential regulators completely rejected the ‘Living Wills’ submitted by eleven of the largest U.S. Bank Holding Companies (BHCs).

Edward Talisse
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Democratization of Hedge Funds and Alternatives

In this article, Kristoffer Houlihan offers some advice for private clients and family offices entering the hedge fund investment space, and some practical considerations when evaluating an emerging manager.

Kristoffer Houlihan
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Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better Than High P/E Models?

In this paper, Dr. Sébastien Lleo and Dr. William Ziemba extend the literature on crash prediction models in three main respects.

Séb Lleo & William Ziemba
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Exact First- and Second-Order Greeks by Algorithmic Differentiation

In this article, The Numerical Algorithms Group (NAG) work very closely with Uwe Naumann to help users take advantage of Algorithmic Differentiation methods.

NAG
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Excerpt from a chapter on High Frequency Trading in The World Scientific Handbook of Futures Markets

In this short piece from a chapter in The World Scientific Handbook of Futures Markets, Barbara Mack presents an overview on HFT, case studies, and a summary of select regulations in the United States.

Barbara Mack
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Explorations in Asset Returns

In this white paper CQF faculty member Dr. Richard Diamond provides an in-depth exploration in asset returns.

Richard Diamond

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