The last 6 weeks have certainly been a painful experience for cryptocurrency enthusiasts and investors, with Bitcoin crashing a full 35% since May 15th (and, at the time of writing, a staggering 71% from its all-time high from mid-November 2021). Given Bitcoin’s...
When pricing options, one must always be careful to model the implied volatility of the instrument appropriately. This is not actually particularly easy, because implied volatility is, by definition, not observable in the market. It is essentially a value that, when...
When future economic (and regular) historians will look back over the past century of financial crashes and panics, one wonders what they will conclude. They may argue that we sowed the seeds of our own fiscal and financial destruction. If so, they will certainly be...
Modelling complex phenomena is as much an art as it is a science. The past twenty years have given us a number of examples where models have gone very badly wrong. These examples serve to demonstrate very clearly the inherent dangers of taking models too seriously....
Product control in the context of capital markets is one of the most important functions in any organisation that trades financial products. The timely, complete, and accurate reporting of profit and loss (P&L) is essential to the proper functioning of such a...
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