Bitcoin Vs Gold
Cyril Sabbagh, Managing Director, recently joined an episode of BFM Business for a vibrant discussion on the longstanding debate between Bitcoin and gold. Hosted by Marc Fiorentino with Jean-Marc Daniel as a co-panelist, the debate explored the merits and challenges of these pivotal investment assets in today’s financial landscape. Sabbagh extolled Bitcoin’s attributes as a […]
Valuation of the future on the SX5EDISP index
The objective here is to promote an exotic product in real time: futures on the Eurostoxx 50 realized dispersion index. To achieve this, it is necessary to define the best evaluation methodology: finding the right prices of stock options to generate a good layer of local volatility that can be reused later. Research Paper (Fill […]
The Bitcoin Transition Report
In this interview, Jad Comair, CEO of Melanion Capital, discussed the importance of the Bitcoin transition on many levels. This Bitcoin transition shows a big impact on institutions and individuals as it creates a decentralized system for currency transfers. The transition from Gold to Bitcoin offers great solutions for all environmental issues and decreases pollution […]
VIX Research Report/Strategy
Uncover the intricacies of our VIX strategy: a comprehensive analysis of tactics and approaches to adeptly navigate the volatility index landscape.
Maximum Benchmark Exposure
Melanion Capital presents a quantitative model to construct a portfolio designed to maximize the exposure to a given Benchmark. This paper provides an empirically based iterative methodology that captures the exposure to a benchmark from traditional assets, while minimizing the idiosyncratic risk. We concluded from the results that the stocks with the highest Beta in […]
Pricing of the SXEDISP Index Future
The objective here is to promote an exotic product in real time: the future on the Eurostoxx 50 Realized Dispersion Index. To do this, it becomes necessary to define the best valuation methodology: find the right equity option prices in order to generate a good layer of local volatility that can be reused later. Research […]
Study of the flows on the Ethereum Blockchain
The purpose of the project is to explore the data of the Ethereum blockchain, which is public in nature, in order to understand the flows and quantify their impact on the price of the cryptocurrencies circulating on it. This project is based on two main axes: The development of a tool to extract and analyze […]
Development of a valuation tool for American options paying discrete dividends
The aim of this project is to better understand and price American options on underlyings paying discrete dividends.The other goal is to generate and calibrate a model as fit as possible, avoiding arbitrability of the volatility surface. Research Paper (Fill in the form to download it)
Crypto Asset Valuation
Crypto means multiple things to different people: an investment asset class like commodities, a store of value like gold, a legitimate medium of exchange, a covert method of exchange, an immutable record of rights and ownership, or even an incentive mechanism like rewards points. In this paper, we use crypto to refer to all crypto […]
Determining the real chances of winning a tennis match
The problem of determining the odds of the outcome of a tennis match has been addressed in many ways. The aim of the project is to explore new markets and detect exploitable inconsistencies between the theoretical value of a tennis match and the prices offered on online betting platforms. Research Paper (Fill in the form […]