Computation, computation, computation
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled....
Implications for valuation and risk management of spread options
Don’t say we didn’t warn you
Adjusting value-at-risk for market liquidity
The origins of CVA
Cutting CVA's complexity