Papers published in Risk this year touched on a diverse range of topics. Laurie Carver provides an overview and introduces the annual round-up of citations
Ability to choose eligible collateral within CSAs means unique prices for the most vanilla derivatives could become a thing of the past, says Vladimir Piterbarg
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Vladimir piterbarg articles
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled....
Scientific theories are supposed to be smooth processes, with progress building on progress. But sometimes a theory gets such a shock that it needs to be completely rethought – and quantitative finance is in the middle of such an upheaval
Jesper Andreasen slams new generation of quants as indoctrinated "muppets", incapable of independent thought
The sensitivity of single-rate derivatives to implied volatility is traditionally only considered with respect to the underlying fixing, in effect collapsing the term structure to a point. But a full set of implied volatilities can be found using a new...
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant tenors, as well as prices of CMS spread options,...
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...
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 of Risk's technical papers and citations shows....
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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