Risk-neutral modelling
Podcast: Princeton’s Carmona on the future of quant education
Course director discusses machine learning explainability and reclaiming game theory from economists
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
Two measures for the price of one
Harvey Stein combines risk-neutral and real-world measures into risk methodology
Short-rate joint-measure models
A joint-measure model combining Q-measure and P-measure
Regulatory-optimal funding
A treasury viewpoint on the funding optimization problem
In defence of FVA – a response to Hull and White
In defence of FVA
Traders close ranks against FVA critics
Traders v. theorists
Putting the fun in funding valuation adjustment
The fun of FVA
Cooking with collateral
Cooking with collateral
Eurostoxx 50 investors 'unintentionally making a bet on financials', according to research
Tobam's analysis of financial markets diversification suggests that eurozone indexes might not be as diversified as investors believe
Trees from history
Option pricing
Risk and probability measures
Although its drawbacks are well known, VAR has become institutionalised as the market risk measure of choice among trading firms and regulators. Now there is a growing feeling that a reappraisal is overdue, exemplified here by Phelim Boyle, Tak Kuen Siu…
Modelling credit migration
Masterclass – with JP Morgan
The tree of knowledge
Options