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Black-Litterman in Continuous Time: The Case for Filtering

Dr. Mark Davis and Dr. Sébastien Lleo extend the Black–Litterman approach to a continuous time setting.

Mark Davis & Sébastien Lleo
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Bond over Big Data - Trading bond futures (& FX) with RavenPack news data

The author uses the RavenPack Analytics Global Macro data to create news-based economic indices (NBESI) for the U.S., E.Z, U.K. and Japan which they then test against sovereign bond futures prices. 

The Thalesians - RavenPack
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Boris Johnson, Yanis Varoufakis And Sir Vince Cable All Have Something In Common

In Dr. Paul Wilmott's latest blog post he highlights what Boris Johnson, Yanis Varoufakis and Sir Vince Cable all have in common as they give their views on Brexit.

Dr. Paul Wilmott
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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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CSA Caps Convexity Impact on Hull & White Calibration

Papaioannou shows how modeling jointly OIS and LIBOR using one factor guassian short rate dynamics allows to capture CSA-convexity on caps and measures its impact on LIBOR volatility calibration in the Hull & White case.

Denis Papaioannou
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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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