Articles

Quantifying Model Risk: Wilmott Magazine Article

24th September 2017 admin 0

Issues and approaches to measure and assess model risk when building quant models. With model failures leading to some high-profile financial accidents in the past few years, there has been a renewed emphasis to systematically […]

Articles

Gambler’s Ruin: Wilmott Magazine Article

22nd September 2017 admin 0

Ruination leads to enlightenment; tough, but true – Aaron Brown The term “gambler’s ruin” is used fora number of statistical ideas whose common denominator is predicting the eventual outcome of a series of repeated bets. […]

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 […]

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 […]

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