Black-Scholes
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Funding in option pricing: the Black-Scholes framework extended
Wujiang Lou shows the impact of funding costs on option valuation
Regulatory costs break risk neutrality
Regulations impose idiosyncratic capital and funding costs for holding derivatives. Idiosyncratic costs mean that no single measure makes derivatives martingales for all market participants. Chris Kenyon and Andrew Green demonstrate that regulatory…
Energy trading firms may rue the decline of quants
New areas for quant research are in abundance, but resources are not
Quants: how they shaped the modern energy market
Application of quantitative analysis to energy was far from smooth
Risk reaches 25-year anniversary
In celebration of our 25th anniversary this year, Risk re-publishes a landmark article by Fischer Black, offering a critique of the Black-Scholes model
In defence of FVA – a response to Hull and White
In defence of FVA
Traders close ranks against FVA critics
Traders v. theorists
Quanto adjustments in the presence of stochastic volatility
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered in…
Profile: NYU’s Robert Engle on volatility, liquidity and systemic risk
An Arch economist
Sponsored statement: Ito33
Which model for equity derivatives?
Repricing the cross smile: an analytic joint density
Repricing the cross smile: an analytic joint density
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation
Quants' golden age
Lifetime achievement award: John Hull
Risk awards 2011
Volatility: the next mainstream asset class?
A volatile time
Technology provider of the year, Asia – Numerix
For its continued expansion in China and South Korea as well as its established business in Japan, Numerix is the Structured Products Technology Provider of the Year for Asia
Parameter estimation with k-means clustering
Ever since the pioneering work of Cox, Ross & Rubinstein (1979), tree models have been popular as an asset pricing method. However, statistical estimation of the parameters of tree models has been less studied. In this article, Kiseop Lee and Mingxin Xu…
Lifetime Achievement Award - Bruno Dupire
Risk Awards 2008