Technical paper
Fat tails via utility-based entropy
Fat tails via utility-based entropy
Cutting Edge introduction: The tipping-point for leverage
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Cutting edge 2012: From stochastic volatility to shameful scams
From stochastic volatility to shameful scams
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
The basis goes stochastic
The basis goes stochastic
The impossibility of DVA replication
The impossibility of DVA replication
DVA: a 'shameful scam'
DVA: a ‘shameful scam’
Adjoint Greeks made easy
Adjoint Greeks made easy
The impossibility of DVA replication
The impossibility of DVA replication
Non-linear momentum strategies
Non-linear momentum strategies
Fat tails via utility-based entropy
Fat tails via utility-based entropy
The beta stochastic volatility model
The beta stochastic volatility model
Fat tails via utility-based entropy
Fat tails via utility-based entropy
Cutting Edge introduction: Tales of tails
Tales of tails
Quadratic Gaussian inflation
Quadratic Gaussian inflation
