How do corporations come up with a volatility estimate when valuing their...
Options can have vesting schedules up to 10 years and most papers on volatility I've seen focus on much shorter terms or are auto regressive and just provide an estimate for the next period not a...
View ArticlePortfolio Optimization: Re-balancing by buying and not selling?
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View ArticleQuantitative Investment Strategies - Market Size
Hello everyone, I am making a quick market study about quantitative finance, and I am looking for statistics about quantitative investment strategies (QIS) compared to the global financial markets...
View ArticleMark out Analysis
Hello; Could anyone share a little detailed idea of how to conduct markout analysis. Mark out as I understand is, using different time frames to see if you would have held the position how much + or -...
View ArticlePapers on size of markets (by volume, traders, etc) and inefficiency?
Has there been any studies for when exactly a market becomes inefficient and you can take advantage of mispricing. I imagine it is somewhere between 3 and 7 billion but I'm curious if anyone has...
View ArticleAn Open Letter To /r/quant
Hi all, mod here. So, I know a lot of folks here have PhDs and so on. I've been reading Limits to Growth [1], among other things. The methodology and conclusions can be debated easily enough. However,...
View ArticleMaking Your Portfolio About #Goals
By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Central Issue of the Paper If youâre a social media junkie, you have probably seen â#goalsâ in your...
View ArticleFast mean-reversion asymptotics for large portfolios of stochastic volatility...
We consider an SPDE description of a large portfolio limit model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hitting a lower barrier....
View ArticleAnalysis of intra-day fluctuations in the Mexican financial market index....
In this paper, a statistical analysis of high frequency fluctuations of the IPC, the Mexican Stock Market Index, is presented. A sample of tick-to-tick data covering the period from January 1999 to...
View ArticleAre American options European after all?. (arXiv:2002.05571v1 [q-fin.MF])
We call a given American option representable if there exists a European claim which dominates the American payoff at any time and such that the values of the two options coincide in the continuation...
View ArticleTop of the Batch: Interviews and the Match. (arXiv:2002.05323v1 [econ.GN])
Most doctors in the NRMP are matched to one of their most-preferred internship programs. Since various surveys indicate similarities across doctors' preferences, this suggests a puzzle. How can nearly...
View ArticleSharing of longevity basis risk in pension schemes with income-drawdown...
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager...
View ArticleDecreasing market value of variable renewables is a result of policy, not...
Although recent studies have shown that electricity systems with shares of wind and solar above 80% can be affordable, economists have raised concerns about market integration. Correlated generation...
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How consumers perceive sustainable products
When tire producers started launching recycled tires, truck drivers were sceptical. They didn’t trust the quality and assumed that there had to be a trade-off with the durability and effectiveness of...
View ArticleIBOR Global Benchmark Transition Roadmap 2018
ISDA, AFME, ICMA, SIFMA and SIFMA AMG have today launched a roadmap that aggregates and summarizes existing information published by regulators and various public-/private-sector risk-free rate (RFR)...
View ArticleThe Importance of Climate Risks for Institutional Investors
AbstractAccording to our survey about climate risk perceptions, institutional investors believe climate risks have financial implications for their portfolio firms and that these risks, particularly...
View ArticleTemperature Shocks and Establishment Sales
AbstractCombining granular daily data on temperatures across the continental United States with detailed establishment data from 1990 to 2015, we study the causal impact of temperature shocks on...
View ArticleAttention to Global Warming
AbstractWe find that people revise their beliefs about climate change upward when experiencing warmer than usual temperatures in their area. Using international data, we show that attention to climate...
View ArticleHedging Climate Change News
AbstractWe propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then...
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