by Jason Apollo Voss | 19 06 2012 | Blog
MODELERS OF ALL MARKETS, UNITE! You have nothing to lose but your illusions. –Dr. Emanuel Derman Nobody personifies a “quant” like Emanuel Derman. First, there is his educational pedigree: After earning a PhD in theoretical particle physics from Columbia...
by Jason Apollo Voss | 11 06 2012 | Blog
Fixed-income markets are awash in news of the increasing number of sovereign debt issues coming to market with negative nominal yields. The question is how low can yields go? In order to help answer the question we created a spreadsheet that helps to demonstrate and...
by Jason Apollo Voss | 30 05 2012 | Blog
In part one of “Holes in Some of Finance’s Critical Assumptions,” Kevin Harney of the hedge fund Massif Partners discussed some of the market distortions arising from critical finance assumptions like Brownian motion and normal distributions used in options pricing....
by Jason Apollo Voss | 29 05 2012 | Blog, News & Events
I was on the floor of the New York Stock Exchange (NYSE) today for the first time courtesy of CFA Institute. That is my colleague Len Costa standing next to me. Boy do those folks at the NYSE do client relations well. Amazing white-glove treatment of their...
by Jason Apollo Voss | 29 05 2012 | Blog
In finance even basic assumptions — like which technique to use to calculate prices for such financial instruments as derivatives or how you calculate rates of return for assets — determine how you see the world. If the techniques have flaws, then your understanding...
