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Option Pricing

Options are analysed and valued in the context of Merton’s (1987) ‘Simple Model of Capital Market Equilibrium with Incomplete Information’.

Wilmott
Tue 13 Mar 2018
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The New New Math

In this column published in Wilmott Magazine, Aaron Brown discusses the difference between the teachings of new and old maths. 

Wilmott
Wed 7 Mar 2018
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Transformers

In this column published in Wilmott Magazine, Mike Staunton discusses the Hilbert transform. 

Wilmott
Tue 13 Feb 2018
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Investing in Thoroughbred Race Horses

Bill Ziemba discusses the horse-racing investments at the highest level: actual horse ownership, as opposed to betting on the races.

Wilmott
Wed 24 Jan 2018
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Can anyone solve the smile problem?

Within this paper the authors explore whether the smile problem can be solved and provide a general reflection of the problem. 

Wilmott
Tue 17 Oct 2017
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Managing Smile Risk

In this paper, it is discovered that the dynamics of the market smile predicted by local vol models is opposite of observed market behaviour. 

Wilmott
Fri 13 Oct 2017
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Bond over Big Data - Trading bond futures (& FX) with RavenPack news data

The author uses the RavenPack Analytics Global Macro data to create news-based economic indices (NBESI) for the U.S., E.Z, U.K. and Japan which they then test against sovereign bond futures prices. 

The Thalesians - RavenPack
Thu 12 Oct 2017
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A “Multi-Topics” Approach to Building Quant Models

In this research, RavenPack demonstrate how their improved event detection technology allow investors to systematically identify key topics and market-moving events. 

RavenPack
Thu 12 Oct 2017
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A Machine Learning-Based Trading Strategy Using Sentiment Analysis Data

In this white paper, Lucena found that constructing portfolios using RavenPack sentiment indicators jointly with traditional factors can result in significant outperformance versus...

Lucena Research - RavenPack
Thu 5 Oct 2017
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IMPACT STUDY: Earnings Sentiment Consistently Outperforms Consensus

In RavenPack’s latest research, we find that their new earnings sentiment indicator derived from real-time news and social media significantly outperforms consensus estimates.

RavenPack
Tue 12 Sep 2017

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