One asset class that has historically thrived in chaotic and crisis environments is managed futures, says Jeannette Showalter, CFA. Might they be the answer for investors looking to hedge against volatile equity markets and a potential secular bear market for bonds?
Sébastien Bossu reviews important concepts and recent developments in option pricing and modeling, including the latest generation of equity derivatives: volatility and correlation derivatives. Readers should have some familiarity with basic equity derivatives pricing and advanced mathematics because this book references the Black–Scholes model and other formulas for exotics.
It is our pleasure to introduce to CFA Institute readers the results of the European QuantAwards 2014 competition. We hope you enjoy the summaries of these three winning papers by their student authors, René-Jean Corneille, Rob Sperna Weiland, and Ulrik Zürcher.
In an exclusive interview, Nobel Laureate Myron Scholes discusses some of the more philosophical issues about research methods, among them the common mistakes research analysts make.
This is the first part of a two-part interview with Nobel Laureate Myron Scholes. In this installment, Scholes shared his perspectives on the Black-Scholes option pricing model, from the motivation and intuition of the original formula to the myriad of extensions.
Alarm bells have been ringing over the summer about remarkably low levels of volatility — a key input in many common investment models — across global markets.
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