Local volatility models
Bloomberg quant Guyon delivers an alternative to stochastic local volatility
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Index providers and fund managers who have tended to focus on performance are seeing demand from investors for strategy indexes that focus on risk
Risk awards 2012
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.