Risk 25: No more heroes in quantitative finance?
Scientific theories are supposed to be smooth processes, with progress building on progress. But sometimes a theory gets such a shock that it needs to be completely rethought – and quantitative finance is in the middle of such an upheaval
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
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