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Close Encounters of the Third Order

The article discusses third-order implied volatility approximations for option pricing, as presented by Matt Lorig and colleagues, drawing a cultural parallel with the film "Close Encounters of the Third Kind."

Mike Staunton
Thu 14 Dec 2023
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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.

Martin Krekel and Jan Partenheimer
Mon 17 Jul 2023
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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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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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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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A Mathematician on Wall Street: Berkshire Hathaway

From a cigar butt to a humidor full of Havanas, courtesy of Mr Buffett with Ed Thorp.

Ed Thorp
Mon 8 Feb 2021
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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

Ed Thorp
Fri 19 Jun 2020
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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. 

Peter Hafez
Wed 12 Sep 2018
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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.

Séb Lleo & William Ziemba
Wed 29 Jul 2015
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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.

Edward Talisse
Wed 3 Sep 2014