Articles

Opscore Web Service

27th November 2017 Editor 0

Two decades in the market have seen ITO33 firmly establish itself as the solution provider of choice for convertible bond specialists. This gold standard is delivered via Opscore, the firm’s front-office solution for pricing, hedging, […]

Articles

American π: Piece of Cake?

13th November 2017 Editor 0

An American option can be exercised by its holder at any time he wishes, not just at the expiration date. Textbooks tell you that pricing it in the context of the binomial model is a […]

News

In Memoriam: Professor Mark Joshi

8th November 2017 Editor 0

Professor Mark Joshi was born on 2 March 1969 and grew up in Dunblane, Scotland. He studied mathematics at, Hertford College, University of Oxford, finishing at the top of his year in 1990 and winning […]

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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