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Index-tracking Portfolio Optimization Model
In the present tutorial report Guillermo Navas-Palencia examines the theory and computational aspects behind the index-tracking portfolio optimization model.
Thu 24 Nov 2016
Intellectual Property Law: A Briefing for Quants
In this article Barbara Mack gives a briefing for Quants on the Intellectual Property Law, covering the U.S. intellectual property regime, and the four types of protectable assets: copyright, trademark, trade secret and patent.
Fri 23 Sep 2016
Pricing Bermudan Swaptions on the LIBOR Market Model
In this article, Stef Maree and Jacques du Toit examine using the Stochastic Grid Bundling Method to price a Bermudan swaption driven by a one-factor LIBOR Market Model.
Mon 12 Sep 2016
Mathematics in Finance – The Unfair Advantage
In this article, Dr. Riaz Ahmad explains how finance continues to benefit from the effect of mathematics and gives it an unfair advantage.
Thu 4 Aug 2016
Explorations in Asset Returns
In this white paper CQF faculty member Dr. Richard Diamond provides an in-depth exploration in asset returns.
Sun 24 Jul 2016
Portfolio Credit Risk: Introduction
This technical report from nag examines the main theoretical aspects in models used in Portfolio credit risk.
Thu 2 Jun 2016
Paul Wilmott's Blog: The Only Question You Need to Ask About the EU Referendum
CQF founder Dr. Paul Wilmott has his say on the upcoming EU Referendum in the UK.
Thu 21 Apr 2016
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?
In this paper Dr. Sébastien Lleo and Dr. William T. Ziemba discuss the Swiss Black Swan Bad Scenario and who the winners and losers are.
Wed 29 Jul 2015
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.
Thu 23 Jul 2015
Review of the For Python Quants Conference
CQF delegate Barbara Mack, shares her thoughts on the 2015 For Python Quants Conference in New York.
Mon 15 Jun 2015
