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

Risk awards 2012

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