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Pricing Bermudan Swaptions on the LIBOR Market Model
In this article, Stef Maree and Jacques du Toit examine using the Stochastic Grid Bundling Method to price a Bermudan swaption driven by a one-factor LIBOR Market Model.
Mon 12 Sep 2016
Review of the For Python Quants Conference
CQF delegate Barbara Mack, shares her thoughts on the 2015 For Python Quants Conference in New York.
Mon 15 Jun 2015
The Honest Truth about Dishonesty: Market Manipulation and Why Some Strings are More Powerful than Others
This short piece by Edward Talisse looks at the ways in which financial institutions and individuals have manipulated the market over the years and what it means for the future.
Fri 24 Apr 2015
CUDA Programming Using Wolfram Finance Platform
This document describes the benefits of CUDA integration in Wolfram Finance Platform and provides some applications for which it is suitable.
Wed 25 Mar 2015
The Meerkat Effect: Personality and Market Returns Affect Investors’ Portfolio Monitoring Behavior
In this article the authors apply generalised non-linear mixed effects models to test for this selective information monitoring at an individual level in a new sample of active online investors.
Mon 9 Mar 2015
Dead on Arrival - Living Wills and Liquidity
With surprisingly little fanfare, the Federal Reserve and other prudential regulators completely rejected the ‘Living Wills’ submitted by eleven of the largest U.S. Bank Holding Companies (BHCs).
Thu 4 Sep 2014
