Fixed Income Factor Investing: Systematic Approaches to Bond Markets
Translating equity factor frameworks into systematic bond strategies demands new thinking about risk, liquidity, and portfolio design
Portfolio Rebalancing: Optimal Thresholds and Transaction Cost Management
Deriving optimal no-trade zones that balance drift costs, market impact, and tax efficiency in portfolio rebalancing
Empirical Asset Pricing Tests: Methodology for Practitioners
The statistical frameworks that separate credible asset pricing evidence from sophisticated noise
Regime Detection in Financial Markets: Hidden Markov Models for Practitioners
Mathematical machinery for detecting market state shifts and adapting portfolios to current environments rather than historical averages
The Fundamental Theorem of Asset Pricing: Why Arbitrage-Free Matters
The mathematical equivalence connecting arbitrage-free markets to martingale measures—and why it matters for every derivative price you compute.
Variance Swaps and Volatility Trading: Pure Exposure Without Path Dependence
How variance swaps deliver the clean volatility exposure that conventional options can never provide
High-Frequency Market Making: The Economics of Liquidity Provision
Inside the microsecond economics of posting bids and asks—where inventory risk, adverse selection, and optimization algorithms determine the price of liquidity.
Stochastic Volatility and the Failure of Black-Scholes: A Practitioner's Guide to Better Pricing
Why constant volatility fails when it matters most, and which stochastic models actually improve hedging performance.
The Volatility Surface Decoded: Extracting Market Beliefs from Option Prices
How the three-dimensional landscape of option prices reveals forward-looking market intelligence unavailable from historical analysis alone.
Credit Risk Modeling: From Structural to Reduced Form Approaches
Understanding when default models explain versus calibrate determines whether you're pricing credit risk or just running formulas.
Optimal Execution: Minimizing Market Impact in Large Trades
The mathematical framework for executing institutional trades while minimizing the inescapable trade-off between market impact and timing risk.
Copulas in Risk Management: Modeling Dependence Beyond Correlation
Why correlation fails during crises and how copulas capture the tail dependence that determines portfolio survival
Portfolio Optimization Under Parameter Uncertainty: Escaping the Markowitz Trap
Why the most mathematically elegant portfolio theory produces the worst practical results—and how to fix it
Counterparty Credit Risk: CVA, DVA, and the Pricing of Default Contingency
How bilateral default risk reshapes derivative valuation through sophisticated credit adjustments that have become central to modern dealer operations.
Liquidity Risk Pricing: The Hidden Premium Institutional Investors Miss
Decomposing and harvesting the systematic returns that compensate patient capital for bearing trading frictions others cannot tolerate.
The Term Structure of Interest Rates: Affine Models and Their Trading Implications
Understanding why affine models dominate fixed income analytics and how their mathematical structure informs sophisticated relative value strategies.
The Cross-Section of Expected Returns: Beyond Fama-French
Separating genuine return predictors from statistical mirages in the crowded landscape of factor-based investing strategies
Momentum and Mean Reversion: The Statistical Foundations of Time-Series Predictability
Rigorous statistical frameworks reveal when asset price predictability creates genuine profit opportunities versus statistical mirages.
Machine Learning Factor Selection: Statistical Discipline for the Algorithm Age
Rigorous statistical frameworks transform machine learning from overfitting engine into genuine factor discovery tool for quantitative practitioners.
Why Your Factor Model Is Lying to You: The Hidden Dynamics of Time-Varying Betas
Static betas mask dynamic risk exposures that spike during crises—conditional estimation frameworks reveal what unconditional models hide.
Jump Diffusion Models: Capturing the Fat Tails Markets Actually Exhibit
Why your risk models systematically underestimate market crashes and how jump processes fix the mathematics of extreme events.