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The Chemistry of Contagious Defaults
In this article, the authors have obtained a dynamical Markovian model of default interactions that describes portfolio’s dynamics endogenously through the mechanism of chemical reactions.
Thu 1 Sep 2022
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.
Thu 1 Sep 2022
Swaptions: 1 Price, 10 Deltas, and … 61/2 Gammas*
This article compares simple risk measures (first and second order sensitivity to the underlying yield curve) for simple instruments (swaptions).
Thu 1 Sep 2022
A Markovian Model of Default Interactions: Comments and Extensions
This article analyses Davis and Lo (2001b) enhanced risk model, which is a dynamic version of the popular market model of infectious defaults of Davis and Lo (2001a).
Thu 1 Sep 2022
Quant Insights Conference: Factor Investing and the Road to Diversified Serfdom
In May 2022, the Quant Insights Conference held by the CQF Institute featured a panel discussion entitled, “Factor Investing and the Road to Diversified Serfdom.”
Mon 15 Aug 2022
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.
Tue 31 May 2022
Knock-in/out Margrabe
In this paper, Espen G. Haug and Jorgen Haug push the Black-Scholes-Merton (BSM) formula to the limit by using it to value exchange-one-asset-for-another options with knock-in or knock-out provisions that depend on the ratio of the two asset prices.
Tue 31 May 2022
Stochastic Processes in Finance - Part II
This is the second article by Jörg Kienitz on stochastic processes in finance.
Thu 21 Apr 2022
Calibration problems – An inverse problems view
In this article, Heniz W. Engl discusses the model parameters from market prices of liquid instruments.
Thu 21 Apr 2022
