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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
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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.

Edward Talisse
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Backtesting Trading Strategies Using Wolfram Finance Platform

This white paper explores one possibility for evaluating portfolio performance using the Wolfram Finance Platform, describing it's thought process.

Wolfram
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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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Building Your Wings on the Way Down

Aaron Brown discusses financial risk in this article from Wilmott Magazine.

Aaron Brown
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Calibration problems – An inverse problems view

In this article, Heniz W. Engl discusses the model parameters from market prices of liquid instruments.

Heinz W. Engl
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Can anyone solve the smile problem?

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

Elie Ayache, Philippe Henrotte, Sonia Nassar and Xuewen Wang

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