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Primer on Arbitrage and Asset Pricing

In this paper, the authors go back to basics with arbitrage and asset pricing.

Leonard MacLean and Bill Ziemba
Thu 19 Oct 2023
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Sequential Modeling of Dependent Jump Processes

In this article published by WIlmott magazine, Mai, Scherer, and Schulz present a new methodology to generalize univariate models to the multivariate case.

Jan-Frederik Mai, Matthias Scherer, and Thorsten Schulz
Mon 20 Jul 2020
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Navigating Stock Market Crashes in the Brexit Trump Era (Presentation Slides)

Presentation slides for Dr. Bill Ziemba's talk - 'Navigating Stock Market Crashes in the Brexit Trump Era'.

William T. Ziemba
Wed 31 May 2017
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Shiny New Toys: Does Wealth Management Need A.I.?

In this article, Greg Davies examines the allure of adopting artificial intelligence as a solution for a range of business problems in Wealth Management and the need to appropriately match solutions to problems.

Greg Davies
Tue 30 May 2017
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Explorations in Asset Returns

In this white paper CQF faculty member Dr. Richard Diamond provides an in-depth exploration in asset returns.

Richard Diamond
Sun 24 Jul 2016
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Black-Litterman in Continuous Time: The Case for Filtering

Dr. Mark Davis and Dr. Sébastien Lleo extend the Black–Litterman approach to a continuous time setting.

Mark Davis & Sébastien Lleo
Fri 13 Feb 2015
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Ferdinand the Bull

In his latest commentary, Edward Talisse likens the financials and banks to that off a bull, and explains where it all went wrong in the 2008 financial crisis.

Edward Talisse
Wed 1 Oct 2014
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Asset Shortage

The difference between the amount or stock of assets outstanding and its tradable flow adjusted float is rarely discussed by research analysts and advisors.

Edward Talisse
Thu 4 Sep 2014
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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.

Edward Talisse
Wed 30 Jul 2014
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Geezers Need Excitement: Trading Jitters and the Volume Myth

Declining trading volumes is a fact. But the idea that high volume is good and low volume is bad is a fallacy. In this article, Ed Talisse looks at 5 market shocks that are driving trading volumes lower.

Edward Talisse
Tue 1 Jul 2014