Not-so-complex Logarithms in the Heston Model

5th February 2018 Editor 0

In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. […]


Six Degrees of Idiocy

22nd January 2018 Editor 0

One of the classic works of poker, and risk management, is Herbert Yardley’s 1957 best-seller, The Education of a Poker Player, Including Where and How One Learns to Win. Yardley is an important transitional figure. […]


Derivatives Technology as a Matter of Survival

11th December 2017 Editor 0

How can banks survive the upcoming years? The traditional business model no longer works because: 1. Low/negative interest rates: Interest rates in many major currencies (euros, CHF, JPY in particular) are low or even negative. […]

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