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Bridge with Buffett

“Investing in a market where people believe in efficiency is like playing bridge with someone who has been told it doesn’t do any good to look at the cards.” – Warren Buffett

Ed Thorp
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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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Derivatives Pricing and Trading in Incomplete Markets: A Tutorial on Concepts

In this article published by the Wilmott magazine, Dennis Yang illustrates various derivative pricing notions in incomplete markets using a simple example, with emphasis on how to use these pricing concepts to make systematic trading decisions.

Dennis Yang
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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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