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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).

Vladyslav Putyatin, David Prieul, Svetlana Maslova
Thu 1 Sep 2022
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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.”

Dr. Michael G. Kollo, Dr. Bernard Lee, Professor James Sefton, Leif Cussen
Mon 15 Aug 2022
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Volatility Voodoo

In this article, Kent Osband discusses volatility models.

Kent Osband
Tue 31 May 2022
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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. 

Elie Ayache, Philippe Henrotte, Sonia Nassar and Xuewen Wang
Tue 31 May 2022
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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.

Espen G. Haug and Jorgen Haug
Tue 31 May 2022
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Stochastic Processes in Finance - Part II

This is the second article by Jörg Kienitz on stochastic processes in finance.

Jörg Kienitz
Thu 21 Apr 2022
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Calibration problems – An inverse problems view

In this article, Heniz W. Engl discusses the model parameters from market prices of liquid instruments.

Heinz W. Engl
Thu 21 Apr 2022
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Forecasting the Yield Curve with S-Plus

In this paper, Dario Cziráky, shows how to implement the Nelson-Siegel and Svensson models using non-linear least squares and how to obtain standard errors and confidence intervals for the parameters, which proves to be useful in assessing the goodness-of-fit at specific points in the term structure, such as at the events of non-parallel shifts.

Dario Cziráky
Fri 4 Mar 2022
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An Asymptotic FX Option Formula in the Cross Currency Libor Market Model

In this article, Atsushu Kawai and Peter Jäckel introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03]. 

Atsushu Kawai and Peter Jäckel
Fri 4 Mar 2022
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Rootless Vol

Kent Osband discusses the Brownian motion in this Wilmott article.

Kent Osband
Tue 1 Feb 2022

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