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Optimal Trading in the Presence of Economic Events

In this article, the author explores the problem of optimal buy/sell strategies in the presence of economic events.

Alexander Ya. Polishchuk
Tue 14 May 2024
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What Happened to Currency Fixings?

This article explores the manipulations of currency fixings and how the fixing production has been reshaped.

Uwe Wystup
Tue 17 Jan 2023
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Trend followers lose more often than they gain

In this article, the authors solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution.

Marc Potters and Jean-Philippe Bouchaud
Thu 1 Sep 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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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.

Sebastien Bossu
Tue 7 Dec 2021
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Derivatives Pricing and Trading in Incomplete Markets: A Tutorial on Concepts

In this article published by the Wilmott magazine, Dennis Yang illustrates various derivative pricing notions in incomplete markets using a simple example, with emphasis on how to use these pricing concepts to make systematic trading decisions.

Dennis Yang
Mon 29 Jun 2020
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Sensible Sensitivities for the SABR Model

In this article published by the Wilmott magazine, Chibane, Miao and Xu develop a new methodology for computing smile sensitivities (Vegas) for European securities priced under the SABR model when the latter is calibrated to more market volatilities than the number of available model parameters.

Messaoud Chibane, Hong Miao, and Chenghai Xu
Tue 19 May 2020
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Inefficient Markets

In this article published by the Wilmott magazine, Ed Thorp discusses the "crash of 87", the most extreme stock market price jump of the twentieth century.

Ed Thorp
Tue 12 May 2020
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A Tale of Two Indexes Predicting Equity Market Downturns in China

Sebastien Lleo and William T. Ziemba investigate whether traditional crash predictors, predicts crashes for the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Composite Index.

Sebastien Lleo and William T. Ziemba
Mon 20 Mar 2017
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Sell in May and Go Away in the Equity Index Futures Markets

Constantine Dzhabarov and William T. Ziemba explain when the best time is to sell in the index futures markets.

Constantine Dzhabarov and William T. Ziemba
Mon 13 Mar 2017