The convertible bonds market has witnessed an unprecedented level of activity over the last 18 months. What does the quantitative finance community think the next twelve months hold in store? Your answers will help us build a picture […]
Convertible Bond Issuance Shattered Records in 2020 and Continues Apace This Year. For the Market New Sophistication and Technological Complexity Are Now Spreading Fast Says Serge Kouyoumjian of ITO33 […]
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 […]
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 […]
The next generation of data analysis requires the next generation of tools. The most popular opensource packages for data analysis (Python’s pandas and various R packages) are designed to work with small files of basic […]
Two decades in the market have seen ITO33 firmly establish itself as the solution provider of choice for convertible bond specialists. This gold standard is delivered via Opscore, the firm’s front-office solution for pricing, hedging, […]
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, […]
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 […]
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 […]
Last week’s Julia in Finance seminar in partnership with the CQF Institute, held in London, was a great success. More than 370 finance professionals registered online or attended in person. Along with customer and partner […]
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