Quantitative finance - Risk.net
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en-gbCutting Edge introduction: another FVA?Including funding costs and benefits in derivatives prices is a controversial topic, closely tied up with the credit and debit valuation adjustments of counterparty risk. But new research suggests that, even with no default risk, differences in the levels at which a party can lend and borrow affect buy and sell prices, with complex effects on valuation. Laurie Carver introduces this month’s technical articles http://www.risk.net/quantitative-finance/2321246/cutting-edge-introduction-another-fva
http://www.risk.net/quantitative-finance/2321246/cutting-edge-introduction-another-fvaMon, 13 Jan 2014 10:31:00 +0000Optimal limit order execution in a simple model for market microstructure dynamics
http://www.risk.net/journal-investment-strategies/2275059/optimal-limit-order-execution-simple-model-market
http://www.risk.net/journal-investment-strategies/2275059/optimal-limit-order-execution-simple-model-marketThu, 27 Jun 2013 12:57:00 +0100Quant Congress Europe: Quants “waiting for Godot” since crisisTop Bank of America quant, Alex Lipton, says subject still needs overhaul http://www.risk.net/quantitative-finance/2274449/quant-congress-europe-quants-waiting-godot-crisis
http://www.risk.net/quantitative-finance/2274449/quant-congress-europe-quants-waiting-godot-crisisWed, 12 Jun 2013 16:36:43 +0100Isda AGM: Risk and Isda launch new derivatives research award First OTC derivatives research award will be given in February 2014 http://www.risk.net/quantitative-finance/2263604/isda-agm-risk-and-isda-launch-new-derivatives-research-award
http://www.risk.net/quantitative-finance/2263604/isda-agm-risk-and-isda-launch-new-derivatives-research-awardWed, 24 Apr 2013 07:15:00 +0100Risk without return
http://www.risk.net/journal-investment-strategies/2255757/risk-without-return
http://www.risk.net/journal-investment-strategies/2255757/risk-without-returnWed, 27 Mar 2013 12:04:00 +0000Time-bridge estimators of integrated variance
http://www.risk.net/journal-investment-strategies/2255754/time-bridge-estimators-integrated-variance
http://www.risk.net/journal-investment-strategies/2255754/time-bridge-estimators-integrated-varianceWed, 27 Mar 2013 11:55:00 +0000Robust hedging of withdrawal guaranteesWithdrawal guarantees ensure the periodic deduction of a constant dollar amount from a fund for a fixed number of periods. If the fund is depleted before the last withdrawal, the guarantor has to finance the difference. Andreas Kunz derives a robust hedging strategy that leads to closed-form solutions for the guarantee value http://www.risk.net/quantitative-finance/2251249/robust-hedging-withdrawal-guarantees
http://www.risk.net/quantitative-finance/2251249/robust-hedging-withdrawal-guaranteesThu, 28 Feb 2013 16:36:00 +0000Mastering the R Statistical Package
http://www.risk.net/quantitative-finance/2477477/mastering-r-statistical-package
http://www.risk.net/quantitative-finance/2477477/mastering-r-statistical-packageWed, 21 Nov 2012 12:30:00 +0000Managing through a Crisis: Practical Insights and Lessons Learned for Quantitatively Managed Equity Portfolios
http://www.risk.net/risk-management/2480104/managing-through-crisis-practical-insights-and-lessons-learned
http://www.risk.net/risk-management/2480104/managing-through-crisis-practical-insights-and-lessons-learnedTue, 30 Nov 2010 16:50:00 +0000The Quant Crunch Experience and the Future of Quantitative Investing
http://www.risk.net/risk-management/2479991/quant-crunch-experience-and-future-quantitative-investing
http://www.risk.net/risk-management/2479991/quant-crunch-experience-and-future-quantitative-investingTue, 30 Nov 2010 12:55:00 +0000