In this paper we propose an alternative way to implement the historical simulation approach
to Value-at-Risk (VaR) measurement, employing a non-parametric kernel quantile estimator …

We use data uniquely available from the Commodity Futures Trading Commission (CFTC) to
document the intraweek trading patterns of large speculators in five futures markets. These …

The Black/Scholes model gives the price of an option as a function of the true variance rate
of the underlying stock and other parameters. Because the true variance rate is unobservable…

All capital budgeting decisions are made in the presence of estimation risk. Ignoring this risk
in the RADR causes overvaluation of project cash flows. The existing theoretical literature is …

In this paper I document the behavior of open interest in listed stock options around quarterly
earnings announcements. Using pooled time-series cross-section regressions, I find a …

Mean–variance optimization has recently come under great criticism based on the poor
performance experienced by asset managers during the global financial crisis. In response, an …

Traditional risk modeling using Value-at-Risk (VaR) is widely viewed as ill equipped for
dealing with tail risks. As a result, scenario-based portfolio stress testing is increasingly being …

M On April 19, 1994, Gibson Greetings, Inc.(Gibson), a manufacturer of seasonal cards,
wrapping paper, and related products with headquarters in Cincinnati, Ohio, filed an 8-K with the …

Praise for How I Became a Quant" Led by two top-notch quants, Richard R. Lindsey and Barry
Schachter, How I Became a Quant details the quirky world of quantitative analysis through …

The stochastic properties of discretely rebalanced option hedges have been studied
extensively beginning with Black and Scholes (1973). In each analysis hedges were “delta-neutral” …