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The LIBOR Fix
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 […]
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Binary Backwards
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 […]
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In Code We Trust
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 […]
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AAD: Breaking the Primal Barrier
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 […]
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Primer On Arbitrage And Asset Pricing
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 […]
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The Volatility Smile Problem: From Within
In the following, I will say what the smile problem is, and I am not sure everyone will follow me. This is how deeply and how long I’ve been thinking about the smile problem. I’ve […]
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Close Encounters Of The Third Order
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 […]
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Volatility Voodoo
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 […]
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Gambler’s Ruin
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 […]
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What Will History Make of Brexit?
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 […]