We first define and derive general properties of negative probabilities. We then show how negative probabilities can be applied to modeling financial options such as Caps and Floors. In trading practice, these options are typically […]
This is the second article in a series of three on financial modeling using the Heston-Hull-White model. The aim of this series is to show the full life cycle of model development and implementation. This article reviews […]
Will Young leaving “Strictly Come Dancing” early has left a vacancy. We can report that Mark Carney is in line to be his replacement. The clues were all there. Was Mervyn King ever seen at a […]
Volume 2016, Issue 85. Pages 1–84
Given the large number of processes affecting global temperature in the climate system and the fact that these processes operate on different time scales, one cannot assume that a single time scale characterises either the […]
Theresa May wants to bring back grammar schools. According to one poll 60% of the British public agree with this idea. If I’d been asked I would have been one of them. This idea, incidentally, […]
My upcoming talk at the Quant Insights conference, 14th October, London, will be “Algo My Way, You Go Your Way – Four Decades in Business.” More details about this conference can be found here: https://www.eventbrite.co.uk/e/quant-insights-conference-tickets-26514482531. Four […]
We consider dynamics of financial markets as dynamics of expectations of people acting on them and discuss it from the point of view of phenomenological thermodynamics. We describe a financial analog of Carnot’s cycle and […]
Volume 2016, Issue 84. Pages 1–84
The concept of generalized marginal risk is presented. This new metric allows a portfolio manager to measure the portfolio risk sensitivity under a broad range of allocations scenarios. Logged-in members can download the article by […]
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