Quantitative analysis
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation
Quants' golden age
Myron Scholes predicts 'golden age' for quants
Top quant sees bright future for mathematical finance as it tackles problems thrown up by the crisis
LTCM had ‘too much risk to be sustainable’ says Myron Scholes
Collapse of Long Term Capital Management was due to excessive leverage and shows perils of over-reliance on classical portfolio theory
Enter the quant regulator
Enter the quant regulator
OpRisk North America: risk appetite, supermodels and reform
Northern exposure
The quant delusion
The quant delusion
Former BarCap credit quant joins consultancy
Former BarCap credit quant joins consultancy
Structured funds house of the year
Structured Products Europe Awards 2010
New State Street index measures fragility of US equity markets
State Street launches index measuring elasticity of US equity markets
Barclays Capital tailors indexes to US stable value industry
Barclays Capital tailors indexes to US stable value industry
Quant unlocks the physics of the flash crash
The flash crash was statistically distinct from other market panics, and can be understood with a little help from the physics of supercool magnets
15 minutes with: Stacy Williams, HSBC
Senior quant discusses the high levels of cross-asset correlation across today's markets
Factors on demand
Linear factor models are commonly used by portfolio managers to capture sources of risk, traditionally split between systematic and idiosyncratic types. By using the conditional link between flexible bottom-up estimation, and top-down attribution, factor…
Standard Chartered names Oswald as global head of fixed-income research
The UK-based bank has named an emerging markets specialist with a strong quantitative pedigree to run global fixed-income research
World Cup trades hit fever pitch
As the dust settles on the World Cup and those that bought televisions on the basis that their national football team would win the tournament wonder how to match their rash expenditure with reality, Richard Jory reviews the copious research supporting…
Pricing distressed CDOs with base correlation and stochastic recovery rates
In 2008 and 2009, the calibration of the standard Gaussian copula model for collateralised debt obligations has frequently broken down. To overcome that problem, Martin Krekel has embedded the model with correlated stochastic recovery rates. He shows…
Factors on demand
Attilio Meucci introduces a multi-asset-class return decomposition framework that extends beyond the standard systematic-plus-idiosyncratic approach. This framework, which rests on the conditional link between flexible bottom-up estimation factor models…
A new direction for weather derivatives
Specialised quanto products are now driving demand in the weather derivatives markets. Alex Davis looks at why this is the case, and how improvements in data provision are making this possible
Expanded smiles
Implementing models with stochastic as well as deterministic local volatility can be challenging. Here, Jesper Andreasen and Brian Huge describe an expansion approach for such models that avoids the high-dimensional partial differential equations usually…
A dynamic model for leveraged funds
Guido Giese derives a model for the performance and Sharpe ratio of leveraged and inverse index funds that follow a dynamic leveraged trading strategy, that is, they are rebalanced on a daily basis to ensure a constant degree of leverage with respect to…
Fast correlation Greeks by adjoint algorithmic differentiation
Adjoint methods have recently been proposed as an efficient way to calculate risk through Monte Carlo simulation. Luca Capriotti and Mike Giles extend these ideas and show how adjoint algorithmic differentiation allows for fast calculation of price…
A dynamic model for correlation
Equity markets have experienced a significant increase in correlation during the crisis, resulting in exotic derivatives portfolios realising large losses. As larger correlations in downward scenarios are already implied in the index option market in the…
Cutting edge: Modelling the correlation function in the crude-oil futures market
Energy market participants often require the computation of coefficients of correlation in a multi-asset portfolio. Addressing crude oil futures contracts, Ehud Ronn proposes and implements a simple procedure to reduce the cross-maturity correlations in…