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Decomposing the Variance Risk Premium, Part 2
The volatility risk premium (VRP) is the difference between implied volatility and subsequently realized volatility, and is one of the most extensively…
 • Nam Nguyen Ph.D.
Genetic Algorithm for Pairs Trading
We have discussed previously how a complex trading system can be profitable.
 • Nam Nguyen Ph.D.
Volatility Measures for Regime Classification
Regime detection and classification are important in portfolio management and asset allocation.
 • Nam Nguyen Ph.D.
Does Regression Still Work in Modern Markets?
Regression in the Age of Machine Learning and AI
 • Nam Nguyen Ph.D.
Delta Hedging Performance Under Different Volatility Measures
Managing an option book is not trivial.
 • Nam Nguyen Ph.D.
Is There an Error in the Black–Scholes-Merton Model?
The Black–Scholes-Merton (BSM) model is a renowned option pricing model used widely in financial markets.
 • Nam Nguyen Ph.D.
Network Effects in Social Media Sentiment
Social media sentiment has become increasingly important in modern portfolio and risk management.
 • Nam Nguyen Ph.D.
Harbourfront Quantitative Finance
Harbourfront Quantitative Finance
Delivering actionable tips, strategies, and educational content to help you excel in trading and master quantitative finance concepts. I send out a newsletter once a week. Throughout the week I also publish web-only posts and Notes.
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