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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
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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
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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
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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
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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
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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
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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
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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
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Can Warren Buffett Also Predict Equity Market Downturns?

In this paper, Dr. Sébastien Lleo and Dr. William T. Ziemba investigate whether this ratio is a statistically significant predictor of equity market downturns.

Séb Lleo & William Ziemba
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Backtesting Trading Strategies Using Wolfram Finance Platform

This white paper explores one possibility for evaluating portfolio performance using the Wolfram Finance Platform, describing it's thought process.

Wolfram

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