CQF Institute Podcast: Discontinuities and Dualities in Quant Finance

The latest episode of the CQF Institute podcast, QuantSpeak, features Reader in Financial Mathematics at Bayes Business School, Dr. Laura Ballotta

The latest episode of the CQF Institute podcast, QuantSpeak, is now online, featuring Reader in Financial Mathematics at Bayes Business School, Dr. Laura Ballotta, who discusses the initial challenges of trying to bring financial risk and insurance risk together and the massive opportunities for cross-pollination between both fields in the post-pandemic markets. Dr. Ballotta also shares some insights on her own career in quant finance and her teaching experiences.

Fourier-Based Methods for the Management of Complex Insurance Products

Dr. Laura Ballotta also delivered a CQF Institute talk earlier this month exploring ‘Fourier-Based Methods for the Management of Complex Insurance Products’. In this talk, Laura proposed a framework for the valuation and the management of complex life insurance contracts, whose design can be described by a portfolio of embedded options, which are activated according to one or more triggering events. These events are in general monitored discretely over the life of the policy, due to the contract terms. Similar designs can also be found in other contexts, such as counterparty credit risk for example. The framework is based on Fourier transform methods as they allow to derive convenient closed analytical formulas for a broad spectrum of underlying dynamics. Multidimensionality issues generated by the discrete monitoring of the triggering events are dealt with efficiently designed Monte Carlo integration strategies. In the talk she illustrated the tractability of the proposed approach by means of a detailed study of ratchet variable annuities, which can be considered a prototypical example of these complex structured products. This talk was based on joint work with Ernst Eberlein, Thorsten Schmidt, and Raghid Zeineddine.


QuantSpeak provides insights into the latest research and industry practice from thought leaders within quantitative finance. Visit the QuantSpeak page to listen to the interview with Dr. Laura Ballotta – the fifth podcast in the series – and to access additional episodes with a range of quant experts, including David Orrell, Dr. Misha Fomytskyi, Professor Natalie Packham, and more.

Upcoming CQF Institute Events

The next CQF Institute event is the Quant Insights Conference on 27 & 28 October 2021. This event features an exciting lineup of speakers including Dr. Robert Litterman, Professor Alexander Lipton, Dr. Jesper Andreasen, Professor Helyette Geman, Dr. Paul Wilmott, and many more. Explore the full event schedule and book a free ticket today.

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