August 2008
Interview Bruno Dupire: «The problem of finance is not to compute......»
A pioneer of local volatility models and leader of quantitative research at Société Générale then Paribas, Bruno Dupire, gives us his vision of markets and responds to criticism of the local volatility...
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May 2008
Interview Espen Haug : «I am also playing with the idea of setting up an Anti-Hedge Fund»
Former Amaranth’s and Paloma Partners’ derivative trader, Espen Haug plans to launch an Anti-Hedge Funds and believes his strategies are too complex to be turned into «Black Box»...
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March 2008
Interview Loïc Guilloux: «The IPD is the only vehicle to take a short position on the housing market»»
Swaps and dérivatives on real estate, what are the prospects of this new market ? The Merryl Lynch Managing Director Loic Guilloux, head of Fixed Income, Currencies & Commodities in France, provides answers...
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March 2008
Interview Dr Damiano Brigo: «Hybrid products and models will become paramount in the immediate future»
Interview with Dr Damiano Brigo, Head of Credit Models at Banca IMI in Milan and co-author of the best-seller « Interest-Rate Models: Theory and Practice ».
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February 2008
Interview Mark Joshi : «senior management have to be more mathematically sophisticated»
Mark Joshi has worked for RBS from 1999 to 2005. First as quant analyst and then head of quantitative research within the risk department.
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January 2008
Pedagogy What is CPPI (Constant Proportion Portfolio Insurance)?
CPPI or Constant Proportion Portfolio Insurance is a dynamic management technique that ensures a minimum guaranteed amount to an investor at the time of maturity
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November 2007
Reading A fractal view of the markets, Benoit Mandelbrot
In an uncompromising book, Benoit Mandelbrot, French graduate from Ecole Polytechnique, denounces the inconsistency of the orthodox theory of finance and presents his fractal vision of the markets
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October 2007
Note What is Structured Finance ?
If the current crisis (labelled as the subprime crisis) has highlighted the complexity of structured finance along with the necessity of developing more sophisticated risk management tools, it appears that a great deal of misunderstanding still prevails among economic and (...)
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August 2007
News Quant funds in turmoil
With the losses recorded by one fund of top quant manager, Renaissance Technologies, and three other funds of Goldman Sachs, the quantitative management industry might be facing its first real crisis.
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June 2007
Interview Benoit Mandelbrot: «My ideas are more and more used by trading desks »
Benoit Mandelbrot, former student of Ecole Polytechnique, is a member of the research center of IBM. He also teaches at Yale and is the father of fractal mathematics ...
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May 2007
Innovation JP Morgan launches the LifeMetrics index
To reduce the risks on the pension fund industry, JP Morgan launched the LifeMetrics index. This index is part of a global platform called "LifeMetrics" which aim is to measure and manage longevity and mortality risk (...)
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March 2007
Profile Quantitative Analyst: a dream career for young mathematicians
Each year, more and more young engineers or science graduates are interested in this career. But how does one become a “quant” ?
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January 2007
Interview Elie Ayache : « The trading of derivatives products has nothing to do with the probability distributions»
He was among the first volatility traders in the matif ! ITO33 Founder and former head of research at Dexia AM, Elie Ayache gives us his thoughts on the derivatives markets he defines as the technology...
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November 2006
News French Legion of Honour awarded to Nicole El Karoui
Nicole El Karoui, a mathematics professor and expert on probability, received, on October 15th 2006, the French Legion of Honour for her pioneering work in the field of mathematics applied to finance.
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