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Remembering Marco
Lixin Wu: “We should celebrate his life. A life with numerous contributions to quantitative finance and beyond and a life that enriched numerous others’, including mine.” […]
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“That Crazy Boy from Búzios!”
In 2013 Marco Avellaneda discussed his life and career with Dan Tudball. In Marco’s memory Wilmott re-publishes the full article that featured on the cover of the September 2013 issue. […]
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Using Zweig’s Monetary and Momentum Models in the Modern Era
This column is written jointly by John Swetye of Hypernormal Enterprises, Darien, CT and William T. Ziemba and an earlier version was published
in: John Swetye & William T. Ziemba (2016) Using Zweig’s monetary and momentum models in the
modern era, Quantitative Finance Letters, 4:1, 35–39, DOI: 10.1080/21649502.2015.1165917. A version of
this article will also appear in Stock Market Crashes: Predictable and Unpredictable and What to do About Them (World Scientific, 2017). […]
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What Happened to Currency Fixings?
Now that manipulations of currency fixings have been examined and many fines have been paid, Uwe Wystup recaps how the fixing production has been reshaped […]
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Peter Carr’s Hall of Mirrors
Put-call symmetry may have been the start but, for Peter Carr, the importance of invariance extends into surprising realms of possibility. Dan Tudball traces Carr’s kaleidoscopic journey … […]
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Eureka! The XVA Compute Challenge Solved
XVA sees your trading book valuation problem and raises it by whatever magnitude induces hyperventilation. Ryan Ferguson discusses how a moment of inspiration led to total domination of the XVA compute problem […]
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Strange News From the Volatility Surface
“It was a rather exciting year,” Dr. Timothy Klassen, CEO of Vola Dynamics LLC, says with some understatement, as he reflects on 2020. Vola’s analytics library, which produces easy-to-use, tradeable, and real-time volatility surfaces, proved […]
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Irithmics’ Supply & Demand Pressure Forecasts Aren’t Just About Alpha
A powerful AI platform originally developed with the goal of putting Deep Neural Networks to work on European public health policy issues has steadily gained a reputation for being one of the most compelling technologies […]
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Managing Liquidity in Times of Stress
Published in partnership with Quantifi, a provider of risk, analytics and trading solutions Historically, liquidity risk has been the poor cousin of market risk and credit risk. While the global financial crisis of 2008/2009 first […]
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Storm Front
As climate change progresses over the coming decades, a widening rangeof sectors will experience climate change-related damages. Climate outcomes, however, are subject to a high degree of uncertainty due to not only the socio-economic dynamics […]