This is a summary of links featured on Quantocracy on Monday, 01/09/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Robust Log-normal Stochastic Volatility for Interest Rate Dynamics [Artur Sepp]The volatility of interest rates in 2022 has been indeed extreme. In Figure 1, I show the dependence the between the MOVE index (which measures the implied volatility of one-month options on UST bond futures and which is constructed similarly to the VIX index for implied volatilities of the S&P index futures), realized 10y UST rate volatility over the 6 months rolling window, and the level of
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Alternative Credit Funds: Credible Alternatives? [Finominal]Alternative credit funds aim to provide returns uncorrelated to traditional fixed income markets However, most of the performance can be explained by equities and plain-vanilla bonds All funds have lost money in the last 12 months, indicating that they are not alternative enough INTRODUCTION As savvy marketers say, the best way to sell a $2,000 watch is to place it next to a $10,000 one. In the