Everything you need to get a grip on the complex world of derivatives Written by the internationally respected academic/finance professional author team of Sebastien Bossu and Philipe Henrotte, An Introduction to Equity Derivatives is the fully updated and expanded second edition of the popular...

We consider the problem of filtering and control in the setting of portfolio optimization in financial markets with random factors that are not directly observable. The example that we present is a commodities portfolio where yields on futures contracts are observed with some noise. Through the...

This article is an examination of stock picking behavior of nearly 1,500 hedge funds using regulatory mandated position-level data from the SEC (Form 13F). Using data from June 1999 to Dec 2018, ab- normal excess alpha is found on both a gross and dollar basis. Breaking the twenty-year sample...

Bond Yield curve is an important indicator of the borrowing costs and lending returns, is also one of the most observed indicator by traders in fixed income trading desk among investment banks. The shape of the yield curve can be normal, flat or inverted. In most cases, bond yield curve is...

This paper develops a decentralized theory that determines the fair value of the yield-to-maturity of a bond or bond portfolio based purely on the near-term dynamics of the yield itself. The theory decomposes the yield into three components: its expected change, its risk premium, and its...