Some quants discarded the continuous time model when it got in the way of arbitrage-free pricing – but others see a chance to fix the traditional ideal. Laurie Carver introduces this month’s technical...
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 Volatility surface articles
Calibrating a local volatility model to options prices is a complicated process requiring both interpolation of liquid prices and extrapolation beyond them. Recently focus has turned to efficient numerical methods. Here, Alex Lipton and Artur Sepp show...
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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