Alexander Izmailov, Ph.D (theoretical physics) and Brian Shay, Ph.D (mathematics) of Market Memory Trading, L.L.C., present in a series of nine (9) white papers, aspects of a revolutionary advance in uncovering hidden dependencies via filtering noise from correlation matrices developed by the...

To find out whether the model misspecification matters for hedging accuracy, we carefully select six increasingly complicated asset models, i.e., the Black-scholes (BS) model, the Merton model (M), the Heston (H) model, the Heston jump-diffusion model (HJ), the double Heston (dbH) model and the...

For years, research has been conducted to correctly model and predict the risk and return structures of Private Equity (PE) funds. Although past research has revealed valuable insight into the features of those funds, most risk and return model struggle with the dispersion of PE funds' returns,...

In this paper, we argue that, once the costs of maintaining the hedging portfolio are properly taken into account, semi-static portfolios should more properly be thought of as separate classes of derivatives, with non-trivial, model-dependent payoff structures. We derive new integral...

[enter Abstract Body]In the Indian equity market, the Systematic Investment Plan (SIP) is the most popularstrategy due to its convenience for disciplined investing regardless of market conditions. This study analyzes the excess returns of an extensive dataset of listed Indiancompanies from 2010...

Regulators and central banks are defining-through mathematical formulae-the market microstructure for the calculation of fixings for LIBOR interest rate swaps in terms of the relevant swap rates that reference the Risk-Free Rate that will replace a particular LIBOR post its cessation. The...

Using a time-varying spillover approach, we investigate volatility spillovers between natural alternative investments, i.e. timber and water, and a battery of traditional instruments comprising equities, bonds, crude oil, gold, real estate, shipping and currency, for the period...

This project explores capital markets risk exposure from water use in key industrial sectors in the Great Lakes region, represented by a subset of the region's largest companies and water users. The largest industrial water users in the Great Lakes region include (in decreasing order):...

This paper studies the implications for climate policy of the interactions between environmental and knowledge externalities. Using a numerical analysis performed with the hybrid integrated assessment model WITCH, extended to include mutual spillovers between the energy and the non-energy...

This paper studies the implications for climate policy of the interactions between environmental and knowledge externalities. Using a numerical analysis performed with the hybrid integrated assessment model WITCH, extended to include mutual spillovers between the energy and the non-energy...