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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
Mon 26 Oct 2020
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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.

Elie Ayache
Fri 29 May 2020
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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
Tue 19 May 2020
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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
Tue 21 Apr 2020
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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
Fri 23 Sep 2016
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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
Thu 4 Aug 2016
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An Introduction to Quantitative Finance

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

Randeep Gug
Tue 2 Jun 2015