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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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
