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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.
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.
Explorations in Asset Returns
In this white paper CQF faculty member Dr. Richard Diamond provides an in-depth exploration in asset returns.
Portfolio Credit Risk: Introduction
This technical report from nag examines the main theoretical aspects in models used in Portfolio credit risk.
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.
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.
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.
Review of the For Python Quants Conference
CQF delegate Barbara Mack, shares her thoughts on the 2015 For Python Quants Conference in New York.
An Introduction to Quantitative Finance
In this article, Dr. Randeep Gug, gives a brief introduction to quantitative finance.
Backtesting Trading Strategies Using Wolfram Finance Platform
This white paper explores one possibility for evaluating portfolio performance using the Wolfram Finance Platform, describing it's thought process.
