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Optimal Trading in the Presence of Economic Events
In this article, the author explores the problem of optimal buy/sell strategies in the presence of economic events.
Fri 14 Jun 2024
Quantpedia Research Review - Issue 19
Issue 19 explores the use of Google Trends data to predict cryptocurrency returns, discusses the influence of business cycles on machine learning stock predictions, and studies an analysis of currency market strategies over a 200-year history.
Tue 11 Jun 2024
Calculating Value-at-Risk Using Option Implied Probability Distribution of Asset Price
In this article, the author uses the probability distribution of asset prices extracted from option prices to get the VaR of a portfolio using Monte-Carlo method.
Fri 10 May 2024
What Salary Could You Earn Working in Quantitative Finance?
Embark on your quant finance career journey with the 2024 CQF Careers Guide to Quantitative Finance.
Tue 7 May 2024
Quantpedia Research Review - Issue 18
Issue 18 delves into cryptocurrency hedging strategies, discusses the impact of Bitcoin’s future expiration on prices, and explores the role of art as a portfolio diversifier.
Wed 24 Apr 2024
The Heston–Hull–White Model Part I: Finance and Analytics
This is the first article in a series of three on financial modeling. The aim of this series is to show the full life cycle of model development. We have chosen an equity model with stochastic volatility and stochastic interest rates.
Fri 5 Apr 2024
Negative Probabilities in Financial Modeling
The article explores the concept of negative probabilities and how they can be used in financial modeling, specifically in the valuation of certain financial options known as Caps and Floors.
Wed 3 Apr 2024
Quantpedia Research Review - Issue 17
Issue 17 delves into stock market concentration in the United States, discusses how to improve portfolios using mutual information, and explores the robust testing of country and asset ETF momentum strategies.
Mon 25 Mar 2024
American π: Piece of Cake?
Textbooks tell you that pricing an American option in the context of the binomial model is a lot easier than it sounds. Is it really simple and obvious? Yes…and no.
Wed 21 Feb 2024
Julia Computing: Automatic for the Greeks
In this article, Dr. Simon Byrne and Dr. Andrew Greenwell discuss fast and accurate price sensitivities using Julia.
Wed 21 Feb 2024
