Download PDF USA US equity markets closed the week with the S&P 500 and Nasdaq Composite both hitting fresh all-time highs on Friday, propelled by a stronger than expected April jobs report and continued AI earnings momentum, with the Nasdaq surging 4.51% on the week and the S&P 500 gaining Read more…
Download PDF Introduction Principal component analysis is widely used for explaining and hedging in the interest rates markets due to its construction based on orthogonality which pairs well with the multicollinearity prevalent in rates. Its explanatory power is able to consistently explain over 95% of the variance in yield curve Read more…
Download PDF Abstract Every empirical study of financial returns since Mandelbrot (1963) has converged on the same short list of stylized facts: heavy polynomial tails, anomalous scaling of volatility with the aggregation horizon, power-law persistence of absolute returns, multiscaling across moment orders, and vanishing linear autocorrelation. These regularities are robust Read more…
Download PDF In this article, we introduce the Gauss+ model for the yield curve. The model belongs to a wider class of models called Affine Term Structure Models (ATSMs) which serve the purpose of modelling the short rate for the pricing of risk-free term structures. These models typically link the Read more…
Download PDF Introduction Lead-lag relationships describe a simple claim: asset X may embed information about asset Y at two different points in time. If this delay is systematic and measurable than a model can exploit such a structure to produce forecasts and ultimately trading signals. The challenge is that the Read more…
Download PDF USA U.S. equities extended their rally this week, with the S&P 500 (+0.9% w/w) and the Nasdaq Composite (+1.1% w/w) both closing at fresh record highs, as investors looked through a still-challenging macro backdrop and focused instead on a crucial earnings test for mega-cap tech. The week made Read more…
Download PDF Introduction In this article we present a conditional latent factor approach to decompose US equities returns into systematic latent components and idiosyncratic residuals. The aim of the article is to expand on previous research by the Bocconi Student Investment Club by presenting an alternative approach to the traditional Read more…
Download PDF Introduction Across different asset classes, volatility surfaces all tell different stories: in this article we let the data tell them unfiltered, building each surface directly on market quotes through interpolation rather than through the lens of a parametric model. Implied volatility surfaces are among the most informative objects Read more…
Download PDF USA US equity markets had a remarkable week. S&P 500 rose by 4.54% WoW, hitting a new record high on Wednesday, and DJIA grew by 3.20% WoW, jumping nearly 868 points in a single session. Marked by a swift de-escalation in the US-Iran tensions, markets have thus experienced Read more…
Download PDF Introduction A persistent feature of short-term interest rate markets is that the rate implied by STIR futures systematically exceeds the corresponding forward rate derived from the swap curve, despite both referencing the same underlying fixing. This article examines this, known as the convexity bias which arises from the Read more…
Download PDF USA US equity markets closed out the final week of Q1 under sustained selling pressure, as the Iran conflict entered its fourth week with the Strait of Hormuz still closed and no clear resolution in sight. The sell-off was broad-based across all major indices and growth-oriented names bearing Read more…
Download PDF Introduction Options are among the most information-rich instruments in financial markets. Unlike traditional asset classes, such as equities or bonds, whose prices reflect a single point estimate of value, options are priced across a continuum of strikes and maturities, which means they embed an entire probability distribution over Read more…
Download PDF USA March’s initial market regime is dominated by a sudden and aggressive return of geopolitical risk premiums and supply-side energy shocks. The American equity markets faced a period of pronounced defensive positioning this week, as the optimism that defined the early weeks of the year has been tempered Read more…
Download PDF Macro overview Can the world’s most privileged issuer face liquidity stress? The U.S. Treasury is considered the most stable market in the world, anchoring global pricing and liquidity conditions. However, 2026 poses an unprecedented challenge for the U.S. Treasury Department. A sizable maturity wall of $9.6tn, accounting for Read more…
Download PDF Executive Summary On February 28th and in the subsequent days the first wave of headlines were released: “Israel and the U.S. Strike Hundreds of Targets: Nuclear Sites and Missile Launchers Hit in the First Wave” – House of Commons Library. “IRGC Launches ‘Operation True Promise 4’: Hundreds of Read more…