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An Introduction to Quantitative Finance
In this article, Dr. Randeep Gug, gives a brief introduction to quantitative finance.
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.
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.
Finformatics: How to Measure Really Small Things
The orthodoxy has tendency to ignore drift which leaves opportunity for finformaticians the market over…
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.
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.
Life Settlements and Viaticals
Life settlements and viaticals are contracts associated with death. Life settlements are a secondary market for the life insurance policies held by individuals. These individuals may, typically later in life, want to sell their policy. The policy is usually worth a lot more than its surrender value. Many of these life insurance policies are then usually packaged together and sold as one product. To the quant, the question is how to model and price, and hedge, individual policies and portfolios of policies.
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.
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.
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.
