Technical paper
Optimal hedge fund allocation present challenges for hedge funds and FoHF managers
Optimising allocation
CVA and the equivalent bond
CVA and the equivalent bond
Reviewing the use of alternative asset class ETFs
Investors have extended the use of exchange traded funds (ETFs) to alternative investments. Commodities, infrastructure and real estate are popular but hedge funds less so.
Two curves, one price
The financial crisis has multiplied the yield curves used to price plain vanilla interest rate derivatives, making classic single-curve no-arbitrage relations and pricing formulas no longer valid. Marco Bianchetti shows that no-arbitrage can be recovered…
Smooth calibration of Markov functional models for pricing exotic interest rate derivatives
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure that allows for the effective use of a control variate
Translating overnight and intraday returns to improve daily volatility forecast accuracy
Lost in translation: Accuracy versus profitability of intraday, overnight and volume information for volatility-based trading
Calculation of aggregate loss distributions
Research Papers
Pricing distressed CDOs with base correlation and stochastic recovery rates
In 2008 and 2009, the calibration of the standard Gaussian copula model for collateralised debt obligations has frequently broken down. To overcome that problem, Martin Krekel has embedded the model with correlated stochastic recovery rates. He shows…
Factors on demand
Attilio Meucci introduces a multi-asset-class return decomposition framework that extends beyond the standard systematic-plus-idiosyncratic approach. This framework, which rests on the conditional link between flexible bottom-up estimation factor models…