“Do you want it done quickly, or do you want it done right?” is the classic response when craftsmen are urged to hurry their work. To their chagrin, the answer is invariably: “Both.” Even the quest for perfection is subject to deadlines, and this is often the main dilemma quants face – accuracy or speed?
This month’s two technical articles neatly illustrate this conundrum in the context of derivatives pricing models. SABR spreads its wings, by Alexander Antonov, Michael Konikov and Michael Spect
The week on Risk.net, July 7-13, 2018Receive this by email