Closed form optimal exercise boundary of the American put option....
We present three models of stock price with time-dependent interest rate, dividend yield, and volatility, respectively, that allow for explicit forms of the optimal exercise boundary of the American...
View ArticleOn the difference between the volatility swap strike and the zero vanna...
In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by...
View ArticleSystemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches....
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and...
View ArticleGet Real: Realism Metrics for Robust Limit Order Book Market Simulations....
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of...
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Dollars or Pence? Choosing a framework for US-China trade
In his recent Wilson Center speech, Vice-President Pence argued that US trade policy towards China must now be built upon the premise that China is a âstrategic and economic rivalâ. This change in...
View ArticlePairs Trading Suggested for Energy Stocks
Carlos Salas Najera, of the New York City Data Science Academy, has tested an old idea (pairs trading) for a strategy that could be tailored to energy stocks and related ETFs. The resulting paper is...
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The Besicovitch 1/2 Conjecture
Unsolved weirdness in 1-dimension.Continue reading on Cantorâs Paradise »
View ArticleMarcos López de Prado on Twitter
The greatest danger to finance workers is not automation. Their greatest danger is other (likely younger) workers with coding skills. People who can processâ¦
View ArticleCryptAssets: Home
CryptAssets is a new Community Hub for #Cryptocurrency and #blockchain enthusiasts. Visit us here: https://t.co/9DLHHqNJ6X â moneyscience (@moneyscience)â¦
View ArticleRisk Management in Financial Institutions
ABSTRACT We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that institutions with higher net worth hedge...
View ArticleA new generation of quants: diverse and female
Are the recent trends in education bad news for the future of quants? https://t.co/M33dV1bUgq â QuantMinds (@QuantMinds) December 12, 2019
View ArticleThe evolution of TensorFlow and of machine learning infrastructure
The Data Exchange Podcast: Rajat Monga on TensorFlow 2.0, TFX, and the state of machine learning platforms.Subscribe: iTunes, Android, Spotify, Stitcher, Google, and RSS.[full show notes can be found...
View ArticleQuant’s Look on ESG Investing Strategies
ESG Investing (sometimes called Socially Responsible Investing) is becoming a current trend, and its proponents characterize it as a modern, sustainable, and responsible way of investing. Some people...
View ArticleMochas, Mariners, and Morality -- Remarks before the National Economists Club
Mochas, Mariners, and Morality Remarks before the National Economists Club Commissioner Hester M. Peirce Washington, D.C. December 12, 2019 hh
View ArticleA Critique of (Non-forensic) Short Selling
In a new paper, three quants with Robeco suggest that the âshortâ side of the activity of many long/short equity trades is pointless. These quants are David Blitz, Guido Baltussen, who is also...
View ArticleMean-Field Games with Differing Beliefs for Algorithmic Trading....
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the...
View ArticleSome pricing tools for the Variance Gamma model. (arXiv:1912.06031v1 [q-fin.PR])
We establish several closed pricing formula for various path-independent payoffs, under an exponential L'evy model driven by the Variance Gamma process. These formulas take the form of quickly...
View ArticleOn the uniqueness of solutions of stochastic Volterra equations....
We prove strong existence and uniqueness, and H"older regularity, of a large class of stochastic Volterra equations, with singular kernels and non-Lipschitz diffusion coefficient. Extending...
View ArticleBrexit Risk Implied by the SABR Martingale Defect in the EUR-GBP Smile....
We construct a data-driven statistical indicator for quantifying the tail risk perceived by the EURGBP option market surrounding Brexit-related events. We show that under lognormal SABR dynamics this...
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