Neural Parametric Methods: Models Off the Bias

9th September 2020 Editor 0

Thijs van den Berg, a consultant and author on machine learning in quantitative finance will present a talk on neural parametric models, novel modeling methods in finance for the CQF Institute on 22nd September. Thijs […]


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 […]


What is Implied by Implied Volatility?

14th May 2018 Editor 0

Word and concept Implied volatility is not just a word or a concept. As a word, what is implied by implied volatility – what “implied volatility” means – is the value of the Brownian diffusion […]


Volatility: Time and Black–Scholes–Merton

23rd April 2017 Editor 0

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, […]