Risk-neutral modelling
Auto-encoding term-structure models
An arbitrage-free low-dimensionality interest rate model is presented
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Risk-neutral densities: advanced methods of estimating nonnormal options underlying asset prices and returns
This work expands the analysis in Cooper (1999) and Santos and Guerra (2014), and the performance of the nonstructural models in estimating the "true" RNDs was measured through a process that generates "true" RNDs that are closer to reality, due to the…
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