CFA Institute Quantitative Methods

Market Drivers: Fundamentals vs. Technicals

Fri, 04 May 2012 11:06:09

Is the market driver by fundamental factors, technical factors, or a mix of both?

Value at Risk and Conditional Value at Risk: A Comparison

Wed, 09 May 2012 09:51:02

Value at risk is praised as a simple, universal risk measure on the one hand and frequently referred to as ?controversial? or ?hotly debated? on the other. This article examines two key limitations of the measure, inability to quantify tail risk and lack ...

Analytical Trend Troubles Scientists

Thu, 10 May 2012 09:56:31

A cautionary tale about use of quantitative methods as they sometimes obscure qualitative research choices. Registration/subscription may be required to access this content.

Are Stocks Really Less Volatile in the Long Run?

Thu, 17 May 2012 15:45:56

Annualized volatility of stock returns is widely thought to be lower over long horizons than over short horizons, due to mean reversion induced by return predictability. However, the authors find that stocks are substantially more volatile over long ...

Computer Trading Takes Human Form

Wed, 23 May 2012 10:28:50

An overview of quant hedge funds 2007-2012 and their increasing inclusion of human judgments.

BGM Market Models: Advances, Calibration, Smile, Pricing

Tue, 08 May 2012 13:25:56

The BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an importance in pricing and hedging financial products that has grown in the recent market turmoil. Discover new developments and ...

FX Vanilla Options

Mon, 21 May 2012 13:02:15

This program is for anyone who wishes to be able to use, price, manage, market, or evaluate FX Vanilla options, including best practices and conventions from buy side and sell side. Delegates will gain a solid understanding of the markets and an insight ...

The Flaws of Finance

Thu, 03 May 2012 09:01:59

Watch an archive of James Montier's conference session in which he discusses: How bad models, bad behavior, bad incentives, and bad policies?interact to create perfect storms for markets How physics envy in finance and the abuse of ...