The Ascent of Money: A Financial History of the World Niall Ferguson Reviewed by Bruce Grantier View PDF… Read more
4th Quarter (2009)
SURVEYS AND CROSSOVERS: Financial Applications with Parallel R
Sanjiv R. Das and Brian Granger The use of statistical packages in finance has two functions. One, econometric analysis of large volumes of data, and two, programming financial models. A popular package for these purposes is R. In this article we will examine two canonical applications of parallel programming for option pricing. We use the… Read more
CASE STUDIES
Jack L. Treynor View PDF… Read more
Striking Regulatory Irons While Hot
Hersh Shefrin and Meir Statman We are in the midst of what might end up as the most significant change to financial regulations since the Great Depression. This is because the financial and economic crisis that continues to engulf us is the most severe crisis since the Great Depression. The markets for houses, mortgages, and… Read more
The Dynamics of Leveraged and Inverse Exchange-Traded Funds
Minder Cheng and Ananth Madhavan Leveraged and inverse Exchange-Traded Funds (ETFs) have attracted significant assets lately. Unlike traditional ETFs, these funds have leverage explicitly embedded as part of their product design. While these funds are primarily used by short-term traders, they are gaining popularity with individual investors placing leveraged bets or hedging their portfolios. The… Read more
The Risk That Risk Will Change
Robert F. Engle Standard approaches to risk management focus on short run risks, yet many positions are held for longer periods. Over such holding periods there is a risk that risks will change. In this note several easily implemented approaches to estimating the term structure of risk are proposed based on either statistical or economic… Read more
INSIGHTS: The 7 Habits of Highly Suspicious Hedge Funds
Richard Bookstaber View PDF… Read more
PRACTITIONER’S DIGEST
Volume 7, Number 4, (2009) View PDF… Read more