Extensive research literature has shown that equity factor premia is not constant over time. With the broad adoption of factor investing among active managers, to generate differentiated market views and returns, factor or style timing remains as one attractive means. We present an adaptive...

This paper introduces a highly analytically tractable parametric model for modelling interest-rate tick movements and arbitrage-free pricing interest-rate options. We apply it to loan prime rates (LPR), the foremost benchmark interest rates that matter to almost all businesses and households in...