Skip directly to content

Open Filter

Listing Thumbnail

An Introduction to Quantitative Finance

In this article, Dr. Randeep Gug, gives a brief introduction to quantitative finance.

Randeep Gug
Listing Thumbnail

Arbitrage-Free CMS Valuation - Watch out for the Correlations

CMS swaps (and other derivatives such as CMS caps or spread options) have become increasingly popular products in fixed-income markets. However, although a number of standard valuation formulas for CMS products exist, they very often include approximations or assumptions.

Guillaume Aubert
Listing Thumbnail

CSA Caps Convexity Impact on Hull & White Calibration

Papaioannou shows how modeling jointly OIS and LIBOR using one factor guassian short rate dynamics allows to capture CSA-convexity on caps and measures its impact on LIBOR volatility calibration in the Hull & White case.

Denis Papaioannou
Listing Thumbnail

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.

Randeep Gug
Listing Thumbnail

Intellectual Property Law: A Briefing for Quants

In this article Barbara Mack gives a briefing for Quants on the Intellectual Property Law, covering the U.S. intellectual property regime, and the four types of protectable assets: copyright, trademark, trade secret and patent.

Barbara Mack
Listing Thumbnail

Mathematics in Finance – The Unfair Advantage

In this article, Dr. Riaz Ahmad explains how finance continues to benefit from the effect of mathematics and gives it an unfair advantage.

Riaz Ahmad
Listing Thumbnail

Monte Carlo Methods in Quantitative Finance Generic and Efficient MC Solver in C++

This paper describes how the authors have designed and implemented a software architecture in C++ to model one-factor and multifactor option pricing problems.

Daniel Duffy and Joerg Kienitz
Listing Thumbnail

Not-so-Complex Logarithms in the Heston Model

In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. In this article, a new approach is proposed to solve this problem which enables the use of Heston’s analytics for practically all levels of parameters and even maturities of many decades.

Christian Kahl and Peter Jäckel
Listing Thumbnail

Scenarios IV: Planning for Disasters and then Dealing with them

In the aftermath of Katrina, Bill Ziemba discusses planning for the economic and financial effects of natural disasters.

Bill Ziemba
Listing Thumbnail

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.

Satyajit Das