We explain the evolution of the volatility market and present the infamous day of 'Volmageddon' as an insightful case study. Our survey focuses on the pricing and trading of volatility linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order...

Institutional investors in equities tend to follow well-defined investment strategies, often based on factors such as size, value, momentum, quality, dividend yield and other stock characteristics. This paper explores the impact of capital flows between investment strategies on the cross-section...

We explain the evolution of the volatility market and present the infamous day of `Volmageddon' as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order...

Economic growth transformed the world. Its measurement via GDP has risen to prominence as the pre-eminent metric of economic prowess and political success. How better to tell its story than through the lens of the world’s first growing economy? Britain's experience with economic growth has...

Our paper forecasts the expected recovery rates of defaulted Italian mortgage loans backed by either residential or commercial real estate. We apply an exponential Ornstein–Uhlenbeck process to model the price dynamics at the provincial and regional level, and two haircut models to estimate the...

Our paper forecasts expected recovery rates of defaulted Italian mortgage loans backed by either residential or commercial real estate. We apply an exponential Ornstein-Uhlenbeck process to model the price dynamics at provincial and regional level, and two haircut models to estimate the...

We study one-shot play in the set of all bimatrix games by a large population of agents. The agents never see the same game twice, but they can learn `across games' by developing solution concepts that tell them how to play new games. Each agent's individual solution concept is represented by a...

Our paper forecasts the expected recovery rates of defaulted Italian mortgage loans backed by either residential or commercial real estate. We apply an exponential Ornstein–Uhlenbeck process to model the price dynamics at the provincial and regional level, and two haircut models to estimate...