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The Implied Loss Surface of CDOs
In this article, the authors describe how to determine the implied loss distribution of a credit portfolio from CDO tranche quotes.
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.
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.”
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.
A Mathematician on Wall Street: Berkshire Hathaway
From a cigar butt to a humidor full of Havanas, courtesy of Mr Buffett with Ed Thorp.
Bridge with Buffett
“Investing in a market where people believe in efficiency is like playing bridge with someone who has been told it doesn’t do any good to look at the cards.” – Warren Buffett
How to Succeed in Quant Investing with Big Data Analytics
In this article, Peter Hafez shares his views on what he believes is required to succeed in today's world of quant investing.
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.
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.
Anything Built By the FED, Can Also Be Destroyed
In this commentary, Edward Talisse examines the year’s bond investment, looking closely at the USA and countries in Europe including Spain, Italy and Greece.
