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Classification vs. Regression in Crisis Prediction
Predicting financial crises is a complex yet crucial task for investors, economists, and policymakers.
Thu 19 Sep 2024
Fast Estimation of American Bond Option Prices
This paper presents a fast way to approximate prices of American bond options by Monte Carlo simulation.
Thu 12 Sep 2024
The Importance of being Global. Application of Global Sensitivity Analysis in Monte Carlo Option Pricing
Monte Carlo and Quasi Monte Carlo methods for pricing European and Asian call options are compared.
Sun 1 Sep 2024
Extended Credit Grades Model with Stochastic Volatility and Jumps
We present two robust extensions of the CreditGrades model: the first one assumes that the variance of returns on the firm’s assets is stochastic, and the second one assumes that the firm’s asset value process follows a double-exponential jump-diffusion.
Tue 27 Aug 2024
Quantpedia Research Review - Issue 21
Issue 21 explores Martingale betting systems, investigates the lead-lag effect of similar ticker symbols, and explains how to design a robust trend-following system.
Tue 20 Aug 2024
Pricing with Jump Signals in the PDE Framework
In this paper we discuss the practical implementation of jump models in a partial differential equation framework for pricing derivatives under a known and unknown number of jumps, regime changes, and reorganization.
Sat 17 Aug 2024
Monte Carlo Simulation of Long-Term Dependent Processes: A Primer
This article briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long-term dependence, also referred as Fractional Geometric Brownian Motion.
Thu 8 Aug 2024
Steering a Bank Around a Death Spiral: Multiple Trigger CoCos
In this paper we start with the introduction of two pricing models to value contingent convertibles. One model (“rule of thumb”) has its roots in credit derivatives pricing while the second model implements an equity derivatives approach.
Fri 26 Jul 2024
Quantpedia Research Review - Issue 20
Issue 20 explores the efficacy of active versus passive life cycle savings strategies by comparing multiple asset classes, examines the innovative use of Convolutional Neural Networks (CNNs) for pairs trading, and analyzes financial analysts' counter-cyclical views on risk premia.
Tue 16 Jul 2024
Quantpedia Research Review - Issue 19
Issue 19 explores the use of Google Trends data to predict cryptocurrency returns, discusses the influence of business cycles on machine learning stock predictions, and studies an analysis of currency market strategies over a 200-year history.
Tue 11 Jun 2024
