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Our popular course Introduction to QuantLib Development will be taking place June 18-20th, 2018.


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Quantitative Finance at arXiv wrote a new blog post titled Analysis of Advisor Portfolio using Multivariate Time Series and Cosine Similarity. (arXiv:1807.06546v1 [q-fin.GN])
In mutual fund, an investment adviser gives advice to clients about investing in securities such as stocks, bonds, mutual funds, or exchange traded funds. Some investment advisers manage portfolios of securities. In this paper, we analyze advisor portfolio for each advisor so as to recognize the pattern in each adviser's portfolio. Such analysis helps the sales people to sell the fund company products to the suitable advisors desirable to the nature of the product they want to sell. This is done by analyzing the kind of products advisors have been interested in which will help to boost the...
12 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (arXiv:1807.06449v1 [q-fin.MF])
This paper addresses the log-optimal portfolio for a general semimartingale model. The most advanced literature on the topic elaborates existence and characterization of this portfolio under no-free-lunch-with-vanishing-risk assumption (NFLVR). There are many financial models violating NFLVR, while admitting the log-optimal portfolio on the one hand. On the other hand, for financial markets under progressively enlargement of filtration, NFLVR remains completely an open issue, and hence the literature can be applied to these models. Herein, we provide a complete characterization of log-optimal...
12 hours ago
All About Alpha wrote a new blog post titled The Problem With Unicorns
A new book by the Wall Street Journal’s John Carreyrou, Bad Blood: Secrets and Lies in a Silicon Valley Startup, works as a compelling test case in how the hunger for the next “unicorn,” a hunger that has been a feature in alternative investing for years now, can go badlyRead More
13 hours ago
The Reformed Broker wrote a new blog post titled More isn’t better
there is a finite limit of talent in every industry, a finite limit of good ideas....
24 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Arbitrage-Free Pricing of Game Options in Nonlinear Markets. (arXiv:1807.05448v1 [q-fin.MF])
The goal is to re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2017) who studied game options within the nonlinear arbitrage-free pricing approach developed in El Karoui and Quenez (1997). We consider the setup introduced in Kim, Nie and Rutkowski (2018) where contracts of an American style were examined. We give a detailed study of unilateral pricing, hedging and exercising problems for the counterparties within a general nonlinear setup. We also present a BSDE approach, which is used to obtain more explicit results under suitable assumptions about...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled On the optimal choice of strike conventions in exchange option pricing. (arXiv:1807.05396v1 [q-fin.MF])
An important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives. By means of Malliavin Calculus we construct an optimal log-linear strikevconvention for exchange options under stochastic volatility models. This novel approach allows us to minimize the difference between the corresponding Margrabe computed price and the true option price. We show that this optimal convention does not depend on the specific stochastic volatility model chosen. Numerical examples are given which provide...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Characterizing Cryptocurrency market with Levy's stable distributions. (arXiv:1807.05360v1 [q-fin.ST])
Recent emergence of cryptocurrencies such as Bitcoin and Ethereum has posed possible alternatives to global payments as well as financial assets around the globe, so measuring their financial risk is crucial for investors and financial regulators. Analysis of price fluctuations in financial markets is often based on the assumption of a Gaussian distribution, which fails to capture the extreme values and leads to the underestimating of the risks. In this paper we first show that the behaviors of price fluctuations of cryptocurrencies can also be characterized by the fat-tail Levy's stable...
2 days ago