Quant Congress Europe: Quants urged to ditch equilibrium models

Volatility arrows

Mathematical finance needs to abandon its reliance on models that assume the market is in equilibrium in the post-crisis world, according to Alex Langnau, global head of quantitative analytics at Allianz Investment Management.

Speaking at Risk's Quant Congress Europe conference in London today, Langnau said the assumption that markets were in steady equilibrium states was divorced from reality, and that an explanation of the way prices are formed by analysing capital flows is needed.

"We are sti

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: