DERIVATIVES

Harvesting the Equity Risk Premia Through Options

Posted on July 2, 2025 By Harbourfront Technologies

Subscribe to newsletter The equity risk premium refers to the excess return that investing in the stock market provides over a risk-free rate, typically represented by government bonds. It compensates investors for taking on the higher risk associated with equities. Estimating the equity risk premium …

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RISK MANAGEMENT

Decomposing the Variance Risk Premium: Up and Down VRP

Posted on July 22, 2025 By Harbourfront Technologies

Subscribe to newsletter The variance risk premium (VRP) is a well-researched topic in quantitative finance. The VRP is the difference between the market-implied variance and the expected realized variance of an asset. Usually, the VRP is positive, reflecting the compensation investors demand for bearing volatility …

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TRADING

Can AI Trade? Modeling Investors with Large Language Models

Posted on July 18, 2025 By Harbourfront Technologies

Subscribe to newsletter Large language models (LLMs) are advanced artificial intelligence systems trained on vast amounts of text data to understand and generate human-like language. LLMs can perform a wide range of language tasks, including translation, summarization, question answering, and code generation. Their versatility has …

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Latest Post

Improving Hedging with Skew-Adjusted Delta

Posted on July 14, 2025 By Harbourfront Technologies

Subscribe to newsletter Delta hedging is a method used to reduce or eliminate the directional risk of an options position. In most delta hedging schemes, delta is calculated using the Black-Scholes-Merton (BSM) model. However, the BSM delta is not always …

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