---
title: "Quantitative Finance"
description: "Quantitative finance articles explain volatility drag and long volatility strategies. They also examine private equity and provably fair games."
type: index
canonical_url: "https://philippdubach.com/categories/quantitative-finance/"
source_url: "https://philippdubach.com/categories/quantitative-finance/index.md"
---

# Quantitative Finance

Quantitative finance articles explain volatility drag and long volatility strategies. They also examine private equity and provably fair games.

The variance tax explains volatility drag. Articles examine long volatility strategies and the cost of tail risk hedging. Further analysis covers private equity returns and the mathematics of provably fair crash games.


*10 entries. Machine-readable feeds: [/api/posts.json](https://philippdubach.com/api/posts.json) · [/feed.json](https://philippdubach.com/feed.json) · [/index.xml](https://philippdubach.com/index.xml) · [/llms.txt](https://philippdubach.com/llms.txt).*

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- **[Against All Odds: The Mathematics of 'Provably Fair' Casino Games](https://philippdubach.com/posts/against-all-odds-the-mathematics-of-provably-fair-casino-games/)** (2026-01-25, updated 2026-05-17) — Statistical analysis of 20,000 crash game rounds verifies the 97% RTP claim. But 179 rounds per hour means expected losses exceed 500% of wagers hourly.
- **[Ambiguity by Design](https://philippdubach.com/posts/ambiguity-by-design/)** (2026-04-08, updated 2026-04-26) — Ellsberg proved people flee unknown odds. Zeckhauser showed their flight creates mispricing. Part 2 on ambiguity aversion, comparative ignorance, and investing.
- **[Bet Sizing at the Frontier](https://philippdubach.com/posts/bet-sizing-at-the-frontier/)** (2026-04-17, updated 2026-04-26) — The Kelly Criterion assumes you know your probability of winning. In a UU world, you don't, and heuristics like Zeckhauser's Maxim B replace false precision.
- **[Is Private Equity Just Beta With a Lockup?](https://philippdubach.com/posts/is-private-equity-just-beta-with-a-lockup/)** (2026-01-29, updated 2026-05-14) — AQR's 2026 data shows private equity returning 4.2% versus 3.9% for public equities. The 30bp illiquidity premium barely justifies years of lockup.
- **[Long Volatility Premium](https://philippdubach.com/posts/long-volatility-premium/)** (2026-02-14, updated 2026-08-16) — Can tail hedging improve compound returns? Review 40 years of beta-adjusted long-volatility evidence, plus AQR, Goldman, Universa, puts, trends, and costs.
- **[The Anatomy of a Decentralized Prediction Market: Notes from the Polymarket Order Book](https://philippdubach.com/posts/the-anatomy-of-a-decentralized-prediction-market-notes-from-the-polymarket-order-book/)** (2026-05-02, updated 2026-08-16) — I study Polymarket microstructure using 30.3 billion order-book events: spreads, depth, wash trading, and a trade-direction error that affects measurement.
- **[The Geometry of Who Knows What](https://philippdubach.com/posts/the-geometry-of-who-knows-what/)** (2026-04-13, updated 2026-04-26) — When neither side can define the states of the world, adverse selection fears are misplaced. Zeckhauser's information matrices and constraint arbitrage.
- **[The Moral Philosophy of Investing in Ignorance](https://philippdubach.com/posts/the-moral-philosophy-of-investing-in-ignorance/)** (2026-04-22, updated 2026-04-26) — Constraint arbitrage, the sidecar problem, and who bears the distributional cost of investing under ignorance. The final installment of Edge of Knowledge.
- **[Three Kinds of Not-Knowing](https://philippdubach.com/posts/three-kinds-of-not-knowing/)** (2026-04-04, updated 2026-04-26) — Knightian uncertainty splits not-knowing into risk, uncertainty, and ignorance. A century after Knight and Keynes, most of investing still ignores the split.
- **[Variance Tax](https://philippdubach.com/posts/variance-tax/)** (2026-02-06, updated 2026-05-04) — Variance drain is the hidden cost of volatility: why a portfolio averaging +10% can lose money. The ½σ² formula explains the gap between paper and real returns.


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Canonical: https://philippdubach.com/categories/quantitative-finance/
This file is the canonical machine-readable variant of https://philippdubach.com/categories/quantitative-finance/. Author: Philipp D. Dubach (https://philippdubach.com/).