Sparring over global valuation

Dealers have typically used a variety of pricing models that are specific to certain asset classes and instruments. But is it possible for banks to build global models that can be used to price instruments across asset classes? Matt Cameron reports


Challenging orthodoxy invariably invites criticism. Sometimes, the hypothesis survives the barrage and eventually supplants the existing convention after years of wrangling. Other times, it turns out the theory does not hold up and the idea withers away.

As such, it is little surprise a concept championed by Claudio Albanese, visiting professor of mathematical finance at King’s College London, has attracted strong criticism from parts of the quant community. The idea, outlined in an article

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a 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 individual account here