Keep it simple, stupid

Are you driven by accuracy or elegance – the fine detail, or the broad brush? And when you’re modelling energy prices or assets, would you throw in a few price-spikes here or a fancy regime-switch there? Or do you plump for a nice pretty formula every time?

Most quants aspire to both approaches. Energy trading houses know that more accurate and detailed models will give them an edge in the market. But they also know that more complicated models are often just more cumbersome, slower to run

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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