Ralph S. J. Koijen
The Journal of Finance, Volume 74, Issue 5, Page 2149-2151, October 2019.
View ArticleMoneyScience: Home Page
We're rather pleased to announce that the new, mobile friendly MoneyScience website is now live! https://t.co/9FjGLn9tAL #quant #Finance #research #news #eventsâ¦
View ArticleHow Should You Discount Your Backtest PnL?
Inâsample overfitting is a drawback of any backtestâbased investment strategy. It is thus of paramount importance to have an understanding of why and how the inâsample overfitting occurs. In...
View ArticleExplicit Pricing of Quadratic Derivatives Under SABR
Many deal types, such as constant maturity swaps, caps, and floors, contain convexity corrections. Valuing these convexity corrections eventually boils down to evaluating quadratic swaps or...
View ArticleNational Football League 2018 Season
Belichick used superior coaching to help New England win the Super Bowl again.
View ArticleSmell the Glove
In which Quantitative Finance introduces Paul Wilmott to Machine Learningâ¦and why not?
View ArticleThe Journey from Data to Intelligence
Examining the promises and challenges that the new era of dataâdriven decision making brings to the financial industry.
View ArticleAAD: Breaking the Primal Barrier
Dmitri Goloubentsev and Evgeny Lakshtanov present a new, speedier approach for AAD.
View ArticleCars
McLaren chops the roof off its 720S Super Series supercar to produce a Spider version in its everburgeoning catalog of exotica.
View ArticleReverse Knockout Pricing Case Study: Stochastic Local Volatility versus...
Two heavyweight vol models punch it out.
View ArticleIn Code We Trust
Financial institutions of all sizes recognize that it is expensive to meet the staffing and infrastructure levels required to efficiently manage data internally
View ArticleThat Old Black Magic
Unexpected emptiness rudely manifested just when you thought you had it all worked out.
View ArticleIntroduction of AG William Barr at the Criminal Coordination Conference
SEC Chairman Jay Claytonâs Introduction of AG William Barr at the Criminal Coordination Conference on October 3, 2019.
View ArticleContinuous Futures Contracts Methodology for Backtesting
No doubt, the correct datasets are the key when one does some analysis in the financial markets. Nowadays, futures contracts are widely spread and popular among practitioners. However, each delivery...
View ArticleWashington, Don’t Bar the Door
PitchBookâs Adam Putz recently tackled the intensifying political scrutiny of Big Tech and the harm the scrutineers may do by trying to fix something that isnât brokenâthe merger and acquisitions...
View Article