Stochastic process
Modeling energy spreads with a generalized novel mean-reverting stochastic process
In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).
Macroeconomic theories: not even wrong
Flawed and inconsistent mainstream macroeconomic theories such as efficient market hypothesis are dangerous to society, says Alexander Lipton
Cutting edge introduction: Monetising out-of-the-money
Out-of-the-money options contain a hidden premium, says one quant
Citi exec laments plight of the quants
Quant Congress USA: Quant departments have become “sterile” and “dumbed-down”
Longevity modelling must evolve
Longevity modelling must evolve
Banks look to cut corners on CVA computation
Cutting CVA corners
Analysing common processes used to model energy prices
An introduction to energy spot price processes
Quants of the year: Jesper Andreasen and Brian Huge, Danske Bank
Risk awards 2012
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
Proxy modelling develops under Solvency II
The alternative route