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Transformers

In this column published in Wilmott Magazine, Mike Staunton discusses the Hilbert transform. 

Wilmott
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Trend followers lose more often than they gain

In this article, the authors solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution.

Marc Potters and Jean-Philippe Bouchaud
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Valuation of American Call Options

The purpose of this paper is to provide an analytical solution for American call options assuming proportional dividends. Proportional dividends are more realistic for long-term options than absolute dividends and the formula does not have the flaws known from absolute dividend formulae.

Ralph Villiger
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VaR as a Percentile

In this white paper Dr. Richard Diamond expands on the concept of Value at Risk (VAR) from a formula based on the critical value, to its true definition of being a property of the joint probability distribution of risk factors.

Richard Diamond
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Volatility Voodoo

In this article, Kent Osband discusses volatility models.

Kent Osband
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Volcker Rule - A Whale with a Cigar

Edward Talisse discusses what the implications could mean for the impending Volcker Rule and what the outcome will be on fixed income and foreign exchange trading desks.

Edward Talisse
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What I Knew and When I Knew It - Part 2

Mathematician, Ed Thorp, looks back to the creation of the world's first market-neutral hedge fund and pre-empting Black-Scholes.

Ed Thorp

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