Volatility: Time and Black–Scholes–Merton

The formalism of Black–Scholes–Merton knows of no such thing as the past or the future. When it models the stochastic process of the underlying asset price as Brownian motion and symbolizes its volatility by σ, […]


Automatic Differentiation for the Greeks

The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option position, as well as tasks such as model calibration. Outside a […]


WILMOTT Magazine: March 2017 issue

Volume 2017, Issue 88. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here.   In this issue: “Contents,” Wilmott, vol. 2017, iss. 88, p. […]


Product Risk Classification

What is the PRC? The product risk classification (PRC) is a risk indicator that is based on quantitative models. It allows us to compare the financial risk of investment products of different kinds and asset […]


Capital Calculations For a Million Trades Takes Seconds

Markit FRTB Studio, an aggregation and capital analytics engine, has processed a portfolio of one million trades in single-digit seconds on a European bank’s Hadoop infrastructure as part of a successful proof-of-concept. This high-speed performance […]