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The Great Investors, Their Methods and How We Evaluate Them: Theory

This article discusses a categorization of the efficient market camps which is related to how various people try to get an edge. 

Bill Ziemba
Mon 7 Nov 2022
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Communication Best Practices in Quantitative Finance

Ed Ma gave a recent talk on ‘Communication Best Practices in Quantitative Finance’ – find out more about his advice and top tips.

Barbara Mack
Sat 22 Oct 2022
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Saints and Sinners: A Panel Discussion from the ESG and Climate Risk Conference

Read a summary of the panel discussion from the 2022 ESG and Climate Risk in Quant Finance Conference.

Barbara Mack
Sat 15 Oct 2022
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Conference Summary: ESG & Climate Risk in Quant Finance

Read a summary of the ESG & Climate Risk in Quant Finance Conference.

Barbara Mack
Sat 15 Oct 2022
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Pricing Credit Derivatives with Uncertain Default Probabilities

In this article, the author presents a model for pricing credit spread options in an environment where the rating transition probabilities are uncertain parameters.

Vivien Brunel
Tue 11 Oct 2022
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Quantpedia Research Review - Issue 1

Issue 1 delves into the detail on overnight market anomalies and combining data sources for the dollar factor. We also look into different replication approaches for ETFs, and review new thinking on market timing strategies.

Quantpedia
Mon 10 Oct 2022
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A Day in the Life of a Quantitative Portfolio Manager

CQF alumnus, Michael Althof gave a recent talk on ‘A Day in the Life of a Portfolio Manager’ – discover what he had to say about this career.

CQF Institute
Fri 7 Oct 2022
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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.

Vlad Putyatin and Svetlana Maslova
Thu 1 Sep 2022
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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.

Marc Potters and Jean-Philippe Bouchaud
Thu 1 Sep 2022
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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).

Marc Henrard
Thu 1 Sep 2022

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