Uwe Wystup’s FX Column in Wilmott Magazine October 2019: “Reverse...
Two heavyweight vol models punch it out. Read article here. The post Uwe Wystupâs FX Column in Wilmott Magazine October 2019: âReverse Knockout Pricing Case Study: Stochastic Local Volatility...
View ArticleThe influence of Bitcoin on Portfolio Diversification and Design
Publication date: Available online 29 October 2019Source: Finance Research LettersAuthor(s): Md Akhtaruzzaman, Ahmet Sensoy, Shaen CorbetAbstractWe employ a VARMA DCC-GARCH model to search for...
View ArticleQuantification of the estimation risk inherent in loss distribution approach...
In this paper, the authors contribute to the measurement of model risk by focusing on the quantification of estimation risk.
View ArticleCalendar / Seasonal Trading and Momentum Factor
We are continuing in our short series of articles about calendar / seasonal trading. The main focus of this paper is to show that the well-working calendar / seasonal anomalies can be refined. The aim...
View ArticleNatasha Vij Greiner Named Associate Director in SEC’s Investment...
The Securities and Exchange Commission today announced that Natasha Vij Greiner has been named Associate Director in its Office of Compliance Inspections and Examinationâs (OCIE) investment adviserÂ...
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