News

Ed Thorp: How Did You Do It?

4th May 2017 Editor 0

By Nicholas G. Colon A few times in every generation a person comes along that makes a significant impact on the world.  Rare or lucky are those that can do this. And then there are […]

Articles

Volatility: Time and Black–Scholes–Merton

23rd April 2017 Editor 0

The formalism of Black–Scholes–Merton knows of no such thing as the past or the future. When it models the stochastic process of the underlying asset price as Brownian motion and symbolizes its volatility by σ, […]

Articles

Automatic Differentiation for the Greeks

16th April 2017 Editor 0

The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option position, as well as tasks such as model calibration. Outside a […]

Articles

Product Risk Classification

9th April 2017 Editor 0

What is the PRC? The product risk classification (PRC) is a risk indicator that is based on quantitative models. It allows us to compare the financial risk of investment products of different kinds and asset […]

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Julia Seminar for Quants in London

27th March 2017 Editor 0

Last week’s Julia in Finance seminar in partnership with the CQF Institute, held in London, was a great success.  More than 370 finance professionals registered online or attended in person. Along with customer and partner […]

News

Julia In Finance Seminar

5th March 2017 Editor 0

16 March, 6.00pm – 9.00pm GMT Fitch Learning, 55 Mark Lane, London, EC3R 7NE In partnership with Julia Computing, the CQF Institute invites you to attend this upcoming free seminar. Attend live in London or […]

Articles

Order Book Visualization

5th March 2017 Editor 0

Tsachi Galanos of Bookmap describes the firm’s novel solution to Limit Order Book Visualization and analysis Roughly two years ago, we shifted our company’s focus from proprietary trading activity, dealing mainly with HFT algorithms, to […]

Articles

All Change

19th February 2017 Editor 0

SciComp Inc has been a major provider of derivatives pricing and risk models for two decades. Dean Tallam discusses the firm’s outlook on technology in the quantitative finance space for 2017 We believe financial service […]

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