Quantitative analysis
Sponsored interview: Neil McGovern and Horace Chow of Sybase
Published online only
Neil McGovern and Horace Chow discuss market trends, new regulation and areas of growth in the Asia region
Original headline:
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...
Original headline:
With derivatives counterparty risk rocketing up the agenda this year, researchers have tried to shed some light on the associated challenges - from capital calculation to pricing - as the annual round-up...
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More Quantitative analysis articles
Quant Congress Europe: Quants urged to ditch equilibrium models
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Equilibrium models do not represent real markets and need to be replaced with models that take explicit account of real capital flows, says Alex Langnau
Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
Published online only
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
Q&A: Emanuel Derman on model risks, why quantitative finance is not...
Original headline:
The use of advanced mathematics and techniques from physics helped give credibility to the financial models that proved inadequate in the crisis. Here, Emanuel Derman, an old hand in the development of finance theory, calls for it to be reassessed –...
Myron Scholes predicts 'golden age' for quants
Published online only
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
Published online only
Collapse of Long Term Capital Management was due to excessive leverage and shows the perils of an over-reliance on classical portfolio theory, says one of its top quants
Enter the quant regulator
Original headline:
If regulators want to improve the level of disclosure for retail investment products, they need to abandon a narrative description of the risks in favour of quantitative indicators. This is the only way to close the information gap between the industry...
The quant delusion
Original headline:
The collapse of Lehman Brothers triggered a number of market dislocations that have shaken the foundations of quantitative finance. Government intervention and new regulation could further reshape financial markets, posing challenges for investors and...
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