Note Are markets becoming more unstable?
Readers of financial news may believe that ‘market corrections’, or ‘shocks’, or ‘five-sigma events’ are more common than they used to be. Winton Capital Management look at the historical data for a number of financial markets and find that there is no evidence for increasing (...)
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Pedagogy EURO STOXX 50® Total Return Futures
About Implied Repo Rate | Product Summary | Your Benefits Trading EURO STOXX 50® Total Return Futures | Product Structure | TRF Product Specifications | Motivation & Examples
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Pedagogy Eurex Market-on-Close Futures
Eurex Market-on-Close Futures (Eurex MOC Futures) are designed to significantly facilitate MOC trading since the index futures can be traded at the underlying cash market index close ahead of its actual publication.
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Note The true nature of the derivative contract on French debt
The multiplication of misinterpretations related to the launch of the derivative contract on French debt leads to an apolitical analysis produced by a market professional to avoid amalgam and populism: This is a simple and useful contract, which was traded in the past in (...)
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Opinion Overview of Quantitative Finance in France
A short review of quantitative finance in France under the lens of the Next Finance website: Profile of quants, origins and outlook of the industry.
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Opinion Financial correlations and loss of common sense
Isn’t correlation in finance charlatanry? We analyze this question through 4 situations that have been observed on financial markets with final investors, asset managers and proprietary traders.
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Opinion Robots have taken power in finance
Describe the real world with numbers is a trend that seems to be accelerating. Thus, digital technology is associated with financial models to show that we (human) interact with our environment using mathematical (...)
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News Institutional investor appetite is back for quant funds
The recent CTA performances encourage institutional investors to more closely monitor this type of hedge fund. Thus, according to Preqin, 52% of them wish to increase their exposure to this type of alternative strategy this year (vs 14% last (...)
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Note Banks Recapitalization : Implications for hybrid debt holders
Who will be recapitalized and how much? How recapitalization work? And most importantly, for investors, how does it impact bank hybrid debt? These are the issues addressed by Philip Hall, Volatility and Credit Quantitative Manager and President of Axiom Alternative (...)
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Opinion Mathematical models in finance and embedded risk underestimation
The statistical assumption of normal (log-normal) distribution of stock returns (prices) is not that strong and tail events’ occurrence is largely undervalued. Nevertheless, this modeling framework has been widely used for strong (...)
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Pedagogy Eurex Exchange: Index Total Return Futures (TRF)
Index Total Return Futures (TRF) are designed to offer a listed solution for trading the implied equity repo rate. Index TRFs aim to replicate the payoff profile of an Index Total Return Swaps (TRS) in a cost efficient way. The first TRF product launch will be the EURO STOXX (...)
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Interview Bruno Dupire: «The problem of finance is not to compute......»
A pioneer of local volatility models and leader of quantitative research at Société Générale then Paribas, Bruno Dupire, gives us his vision of markets and responds to criticism of the local volatility...
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Pedagogy What is CPPI (Constant Proportion Portfolio Insurance)?
CPPI or Constant Proportion Portfolio Insurance is a dynamic management technique that ensures a minimum guaranteed amount to an investor at the time of maturity
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Stories Capital Fund Management: Simply the best?
Discus Fund, one of CFM flagship funds, posted 23 percent year-to-date positive returns as of october end, the best performance amongst all the global systematic funds. This is the confirmation the know-how of the French manager which has shown exceptional trackrecords for (...)
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Interview Philip Tindall : « We see further development of non-market cap approaches in bonds »
According to Philip Tindall, senior investment consultant at Towers Watson, there has been a lot of interest in smart betas area, and investors are beginning to allocate assets - Towers Watson’s clients have invested more than (...)
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