Open Filter
Quantpedia Research Review - Issue 5
Issue 5 explores ESG funds and greenwashing, reviews size factor as an investment choice and investigates price reaction around Bitcoin and Ethereum networks.
The Fed Isn’t Federal – And Other Odd Things in Finance
In this paper, Rolf Poulson gives notice to misunderstandings in quantitative finance that range from amusing to genuine obstacles.
Approximation of Continuous Monitoring with Discrete Monitoring Applied to Down—And—Out Options
In this paper, Stefan Ebenfeld and Damaris Hilzinger consider down—and—out options in the Black—Scholes framework.
Quantitative Finance: Skills of the Future
Read the write-up from the February 2023 careers talk, 'Quantitative Finance: Skills of the Future'.
Quantpedia Research Review - Issue 4
Issue 4 explores the use of quantum computers in finance, reviews Patent-to-Market trading strategies and discusses how the news impacts Bitcoin returns.
Derivatives Technology as a Matter of Survival
This article explores the use of electronic banking of derivatives or investment products containing derivatives.
Hedging under SABR Model
This article takes a fresh look at the delta and vega risks within the SABR stochastic volatility model Hagan et al. (2002).
Do not Forget the Economy when Estimating Default Probabilities
Traditional rating systems do not include macroeconomic variables. This article shows techniques to integrate macroeconomic information into a rating model and then illustrates how the macroeconomic variables improve the performance of a model for small and medium sized companies.
What Happened to Currency Fixings?
This article explores the manipulations of currency fixings and how the fixing production has been reshaped.
Quantpedia Research Review - Issue 3
Issue 3 reviews post-earnings announcement drift, stock-bond correlation and the role of interest rates in factor discovery. Plus, learn how you can model a 100-year history of your portfolio.
