“All truths are easy to understand once they are discovered; the point is to discover them.”
Galileo Galilei

We believe questioning status-quo hones expertise and yields improvements via pushing the boundaries even in non-stationary markets. Links to our published research.

Books

Title Year
Computational Methods in Finance 2014
An Introduction To The Mathematics Of Financial Derivatives 2014
Private Equity Investing – Mathematics – 2nd Edition 2014

Research

Category Title Year
Asset Management Robust Rolling Transformer Text Classification (R2-T2C)- a framework for analyzing documents 2024
Robust Rolling Regime Detection (R2-RD): A Data-Driven Perspective of Financial Markets 2024
Robust Rolling K-Means (R2K-Means): an Updateable Nonlinear K-Means Clustering Methodology for Financial Time Series 2024
Overview of Artificial Intelligence Deployment Options 2023
What is Your Investment Advisor’s Handicap? 2023
Robust Rolling PCA: Managing Time Series and Multiple Dimensions 2023
Explainability Index (EI): Unifying Framework of Performance Measures and Risk of Target (RoT): Variability from Target EI 2023
Post Trade Allocation: How Much are Bunched Orders Costing Your Performance? 2022
Two-Stage Sector Rotation Methodology Using Machine Learning and Deep Learning Techniques 2021
Regularized Generative Adversarial Network 2021
Explainable AI in Credit Risk Management 2021
Deep Reinforcement Learning on a Multi-Asset Environment for Trading 2021
Predicting Status of Pre and Post M&A Deals Using Machine Learning and Deep Learning Techniques 2021
Methods For Post-Trade Allocation 2015
Mortgage Banking Update – Establishing a Value-at-Risk Framework 2010
Traditional Assets Solving Barrier Options Under Stochastic Volatility Using Deep Learning 2022
Simulating Financial Time Series Using Attention 2022
An Unsupervised Deep Learning Approach To Solving Partial Integro-Differential Equations 2022
Saddle-Point Approach to Large-Time Volatility Smile 2022
The Vix Index Under Scrutiny Of Machine Learning Techniques And Neural Networks 2021
Fast Pricing of American Options Under Variance Gamma 2021
Double Gamma Stochastic Volatility Model in Discrete Time 2021
Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes 2019
Derivative Approximation by Finite Differences in Higher Dimensional Cases 2019
Alternating Line Multigrid for the Two Dimensional Convection-Diffusion Equation 2018
Analytical Pricing of Swaption in Affine Term Structures with Stochastic Volatility 2017
Constant Proportion Portfolio Insurance 2010
Pricing of Swaptions in Affine Term Structures with Stochastic Volatility 2007
Forward Evolution Equations For Knock-Out Options 2007
Local Volatility Calibration Using the Most Likely Path 2006
Exotic Option Pricing And Advanced Levy Models 2006
Pricing American Options Under Variance Gamma 2004
Why Be Backward? Forward Equations For American Options 2003
The Effect Of Model Risk On The Valuation Of Barrier Options 2003
Option Pricing: Why Be Backward? 2003
Forward Equations for American and Path-Dependent Options 2002
Alternative Assets Asset Planning: Illiquid Asset Cashflow Forecasting and Stress Testing 2024
Supervised Neural Networks for Illiquid Alternative Asset Cash Flow Forecasting 2021
Private Equity Investing – Mathematics 2012
Privcap – Excellence in Co-Investment 2011
Private Equity International – Fund Allocations: Debunking the Myths 2011
Private Equity Investing – A Separate Piece 2010
Private Equity Investing – Do Managers Matter 2009