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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.
Fri 14 Jun 2024
What Happened to Currency Fixings?
This article explores the manipulations of currency fixings and how the fixing production has been reshaped.
Tue 17 Jan 2023
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.
Thu 1 Sep 2022
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.
Tue 31 May 2022
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.
Tue 7 Dec 2021
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.
Mon 29 Jun 2020
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.
Tue 19 May 2020
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.
Tue 12 May 2020
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.
Mon 20 Mar 2017
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.
Mon 13 Mar 2017
