We develop a detailed epidemiological multi-factor model, the K-Susceptible-Exposed-Infected-Removed (K-SEIR) model, as well as several simpler sub-models, as its building blocks. The general model enables us to account for all the relevant COVID-19 features, its disparate impact on different...

Many quantitative firms have suffered substantial losses as a result of the COVID-19 selloff. In this note, we highlight three lessons that quantitative researchers could learn from this crisis. First, researchers should develop more nowcasting methods, and pay less attention to forecasts....

Six weeks after becoming a pandemic, COVID-19 has caused over 150,000 deaths across 210 countries. Governments around the world have instituted universal lockdowns to curve the spread of this serious disease. While it is obvious that extended universal lockdowns have saved lives that otherwise...

In this paper, we propose two practicable approaches for consistently modelling the realworld and risk-neutral measures within cross-asset Monte-Carlo frameworks. We go on to explore the necessity of supporting the real-world measure and consider its calibration with the aid of an explicit...