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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
Managing Smile Risk
In this paper, it is discovered that the dynamics of the market smile predicted by local vol models is opposite of observed market behaviour.
Sun 13 Jan 2019
How to Succeed in Quant Investing with Big Data Analytics
In this article, Peter Hafez shares his views on what he believes is required to succeed in today's world of quant investing.
Wed 12 Sep 2018
Transformers
In this column published in Wilmott Magazine, Mike Staunton discusses the Hilbert transform.
Tue 13 Feb 2018
Investing in Thoroughbred Race Horses
Bill Ziemba discusses the horse-racing investments at the highest level: actual horse ownership, as opposed to betting on the races.
Wed 24 Jan 2018
