Articles

The LIBOR Fix

29th November 2019 Editor 0

Depending on context, the word “fix” can mean “set” or “determine,” “manipulate” or “rig,” as well as “repair” or “correct.” “In a fix” means to be in difficulty. In colloquial use, a “fix” is a […]

Articles

Binary Backwards

29th October 2019 Editor 0

Anybody who writes exams or performs job interviews knows the value of questions. If they are based on true stories or statements, even better. To my delight this showed up in my Twitter timeline: (Let […]

Articles

In Code We Trust

25th September 2019 Editor 0

You’re at a fund that doesn’t want to burn headcount hiring their own data, storage, and sysadmin team, and you’re not alone. Financial institutions of all sizes realize that it is expensive to meet the […]

Articles

AAD: Breaking the Primal Barrier

18th September 2019 Editor 0

In this article we present a new approach for automatic adjoint differentiation (AAD) with a special focus on computations where derivatives ∂F(X)/∂X are required for multiple instances of vectors X. In practice, the presented approach […]

Articles

Primer On Arbitrage And Asset Pricing

4th September 2019 Editor 0

  Financial decision making is typically concerned with the amount of investment capital to allocate to various assets or asset classes in various financial markets. The opportunity set can be very complex, with sets of […]

Articles

Close Encounters Of The Third Order

17th July 2019 Editor 0

The 1977 science fiction movie Close Encounters of the Third Kind was written and directed by Steven Spielberg. The title is derived from the classification by Hynek for close encounters with aliens, in which the […]

Articles

Volatility Voodoo

3rd July 2019 Editor 0

How do I love thee? Let me count the ways. I love thee to the depth and breadth and height My soul can reach, when feeling out of sight. . . I love thee with […]

Articles

Gambler’s Ruin

20th June 2019 Editor 0

The term “gambler’s ruin” is used for a number of statistical ideas whose common denominator is predicting the eventual outcome of a series of repeated bets. There are some beautiful and counterintuitive results in which […]

Articles

What Will History Make of Brexit?

5th June 2019 Editor 0

Asked what was the most difficult thing about his job, British Prime Minister Harold Macmillan is reputed to have replied: “Events, dear boy, events.” Brexit may be one such event. The only known fact is […]

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