Quant Congress Europe: Peter Carr introduces ‘meta-modelling’

drawing-bell-curve

Quantitative finance needs to examine the procedures governing how models are constructed in tandem with their use and calibration, according to a top quantitative analyst, who terms the process ‘meta-modelling'.

Speaking at Risk's Quant Congress Europe event in London, Peter Carr, head of market modelling at Morgan Stanley, explained how a derivatives pricing model was made of four interrelated parts - specifying assumptions, deriving a valuation methodology, modelling the target contract and t

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: