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Recent Posts
- Trend-following strategies for tail-risk hedging and alpha generation
- Lessons from the crash of short volatility ETPs
- Diversifying Cyclicality Risk of Quantitative Investment Strategies: presentation slides and webinar Q&A
- Volatility Modelling and Trading: Workshop presentation
- Selling volatility in a low volatility regime: the current level of the volatility is a weak predictor for future performance
- Allocation to systematic volatility strategies using VIX futures, S&P 500 index puts, and delta-hedged long-short strategies
- Why the volatility is log-normal and how to apply the log-normal stochastic volatility model in practice
- Volatility Modeling and Trading: Q&A with Euan Sinclair
- Quantitative Approaches to Wealth Management: An Interview for Instututional Investor Journals
- How to optimize volatility trading and delta-hedging strategies under the discrete hedging with transaction costs
Categories
- Asset Allocation (4)
- Quantitative Strategies (9)
- Trend-following (2)
- Uncategorized (10)
- Volatility Modeling (8)
- Volatility Trading (8)