Risk 25: No more heroes in quantitative finance?

Vladimir Piterbarg, Barclays

Wistfully – perhaps slightly misty eyed – the top quantitative analyst of a leading international bank leans back in his chair and sighs. “It was the heroic age for the subject,” he says, of quantitative finance in the pre-crisis era. 

Back then, daring quants in banks on either side of the Atlantic dreamed up ever more complicated stochastic models for ever more complicated exotic option payoffs. Mathematicians and physicists poured into New York and London to make their fortunes, while academi

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