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The Price is Right - The S&P 500 Index Deconstructed
Is the widely followed S&P 500 equity index wildly overvalued at its current price of 2,000?
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.
The Tide is High
In this article, Edward Talisse delivers another commentary on the state of the American financial markets.
Timing the Bond Market
Edward Talisse, gives his view on stock-bond correlation in his latest article where he advises the best timing to invest bonds.
Transformers
In this column published in Wilmott Magazine, Mike Staunton discusses the Hilbert transform.
Valuation of American Call Options
The purpose of this paper is to provide an analytical solution for American call options assuming proportional dividends. Proportional dividends are more realistic for long-term options than absolute dividends and the formula does not have the flaws known from absolute dividend formulae.
VaR as a Percentile
In this white paper Dr. Richard Diamond expands on the concept of Value at Risk (VAR) from a formula based on the critical value, to its true definition of being a property of the joint probability distribution of risk factors.
Volatility Voodoo
In this article, Kent Osband discusses volatility models.
Volcker Rule - A Whale with a Cigar
Edward Talisse discusses what the implications could mean for the impending Volcker Rule and what the outcome will be on fixed income and foreign exchange trading desks.
What I Knew and When I Knew It - Part 2
Mathematician, Ed Thorp, looks back to the creation of the world's first market-neutral hedge fund and pre-empting Black-Scholes.
