QuantHedgeAI · Research Note Derivatives · Numerical Methods No. 001 — Uncertain Volatility Pricing a Binary Option Under Uncertain Volatility The full nonlinear PDE, a gamma-sign volatility switch, and an explicit finite-difference scheme — worked end to end, with runnable code. Luigi Piva, CQF · QuantHedgeAI · Research Note 001 The Black–Scholes framework treats […]
Luigi Piva — ALGOSWORKSAI LTD This is the complete, honest account of a week of testing on a simple question: can you use a statistical measure of market stress to improve an equity portfolio, exiting into turbulence and re-entering into calm? The short answer is “yes, but.” The long answer — with the dead ends, […]
Luigi Piva — ALGOSWORKSAI LTD This article is the complete, technical version of an idea I introduced elsewhere: how to measure market stress with the Mahalanobis distance, how to implement it in Python without fooling yourself, and what to expect when you use it. It contains working code and the methodological discipline that separates a […]
The math is the easy part. The operational discipline is where multi-strategy portfolios live or die. From notebook to live capital The previous two posts in this series argued for multi-strategy investing on mathematical grounds and walked through the allocation methods. This post is about everything that happens between “I have N candidate strategies and […]
Theory says mean-variance. Practice says inverse volatility. The truth is in between, and the choice matters. Four methods, one decision Given a set of N candidate strategies, you must decide how much capital to allocate to each. This is the central operational problem of multi-strategy investing, and there are essentially four families of answers, with […]
Better strategies compound linearly. More strategies compound roughly with the square root. The math is decisive. The mistake most quants spend years making Most quantitative researchers begin their careers chasing a Better Strategy. The premise is intuitive: more skill, more research, more iteration, eventually produces a superior alpha source. The Sharpe ratio goes up. The […]