Storm Front

11th June 2020 Editor 0

As climate change progresses over the coming decades, a widening rangeof sectors will experience climate change-related damages. Climate outcomes, however, are subject to a high degree of uncertainty due to not only the socio-economic dynamics […]


Implied Probability of Bail-In

6th May 2020 Editor 0

CoCo (Contingent Convertible) or AT1 (Additional Tier 1) Bonds have been receiving some attention recently due to a confluence of factors. In no particular order these include the fact that $40bn worth of contracts are […]


The Swiss Army Knife of Option Analytics

8th January 2020 Editor 0

Vola Dynamics provides analytics for options trading and risk management,as well as portfolio, PnL, and scenario analysis. Since its founding in New York in 2016, it has quickly established itself as the only third-party vendor […]



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 […]


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 […]


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 […]


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 […]


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 […]


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 […]

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