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Sequential Modeling of Dependent Jump Processes
In this article published by WIlmott magazine, Mai, Scherer, and Schulz present a new methodology to generalize univariate models to the multivariate case.
Mon 20 Jul 2020
Derivatives Pricing and Trading in Incomplete Markets: A Tutorial on Concepts
In this article published by the Wilmott magazine, Dennis Yang illustrates various derivative pricing notions in incomplete markets using a simple example, with emphasis on how to use these pricing concepts to make systematic trading decisions.
Mon 29 Jun 2020
Bridge with Buffett
“Investing in a market where people believe in efficiency is like playing bridge with someone who has been told it doesn’t do any good to look at the cards.” – Warren Buffett
Fri 19 Jun 2020
The Irony in the Variance Swaps
In this article published by Wilmott magazine, Elie Ayache will propose a rereading of quantitative finance where irony, as opposed to theory, emerges as a leitmotiv, perhaps even a main guide.
Fri 29 May 2020
Sensible Sensitivities for the SABR Model
In this article published by the Wilmott magazine, Chibane, Miao and Xu develop a new methodology for computing smile sensitivities (Vegas) for European securities priced under the SABR model when the latter is calibrated to more market volatilities than the number of available model parameters.
Tue 19 May 2020
How the rise in data has led to a skills gap
The exponential growth in data is driving companies to look at how they can use new insights to their competitive advantage. Managing and analysing this increasing volume of data, using strategies such as AI and machine learning, has opened up significant skill gaps in the financial services sector. Which is where digital learning has a big role to play.
Tue 19 May 2020
Inefficient Markets
In this article published by the Wilmott magazine, Ed Thorp discusses the "crash of 87", the most extreme stock market price jump of the twentieth century.
Tue 12 May 2020
The End of Growth?
In this article published by the Wilmott magazine, former banker and author, Satyajit Das, asks if this is the end of economic growth and what a world of no, or low rates of, growth will look like.
Tue 21 Apr 2020
Fitch Learning Aims to Boost AI & Machine Learning Skills in China
Hong Kong – 30 March 2020: A record number of professionals have signed up for Fitch Learning’s quantitative finance programme to
Mon 30 Mar 2020
Potential Future Exposure Calculations Using the BGM Model
Within this paper the authors look at the BGM model in PFE calculations for various exotic interest rate products.
Thu 18 Jul 2019
