Quant Mashup - MathFinance.cn

Selected Interesting Papers from MFA Conference [MathFinance.cn]

I just returned Beijing from the Midwest Finance Association 2016 Annual Meeting in Atlanta, it is my first time in America, and the life there is quite different from that in the British cities... few people in downtown, hard to go out without a car, people are less friendly (at least look like)...(...)

Why doesn’t the choice of performance measure matter? [MathFinance.cn]

Choosing an appropriate performance measure is important for fund investors, nevertheless, many researchers find empirically that the choice of measures does not matter because those measures generate identical rank ordering, even though the distribution of fund returns is non-normal. In this paper(...)

CDS Inferred Stock Volatility [MathFinance.cn]

I have written a working paper on CDS (credit default swap) implied stock volatility and found some interesting results. Post it here just in case someone is interested. Both CDS and out-of-money put option can protect investors against downside risk, so they are related while not being mutually(...)