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An Introduction to the Generalized Marginal Risk
In this paper, the authors present the concept of generalized marginal risk.
Hedging under SABR Model
This article takes a fresh look at the delta and vega risks within the SABR stochastic volatility model Hagan et al. (2002).
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.
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.
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).
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).
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.
Rootless Vol
Kent Osband discusses the Brownian motion in this Wilmott article.
Building Your Wings on the Way Down
Aaron Brown discusses financial risk in this article from Wilmott Magazine.
Introduction to Variance Swaps
The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader.
