Quants of the year: Jesper Andreasen and Brian Huge, Danske Bank

Risk awards 2012

Jesper Andreasen and Brian Huge

The markets classically assumed by quantitative finance trade continuously, are frictionless, infinitely deep and liquid, and often normally distributed – a fiction so enchanting that many modellers mistook it for reality in the pre-crisis years. One by one, those assumptions have been tackled by new research and now, even the status of continuous time prices is under threat.

Traditionally, quants set down a theoretical model based on a process that gives a new value at each instant, such as geo