Cutting Edge introduction: Accuracy or speed?

Accuracy or speed?

dashboard-speed

“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

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: