Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
Quantitative finance needs to examine the procedures governing how models are constructed in tandem with their use and calibration, according to a top quantitative analyst, who terms the process ‘meta-modelling'.
Speaking at Risk's Quant Congress Europe event in London, Peter Carr, head of market modelling at Morgan Stanley, explained how a derivatives pricing model was made of four interrelated parts - specifying assumptions, deriving a valuation methodology, modelling the target contract and
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