Risk Latte - The Financial Engineering Resource

Markets

One of the vexing issues in the derivatives market is the phenomenon of "volatility of volatility" or "vvol". Every trader’s volatility estimate has volatility and he knows that this is what gives rise to "fat tails" and the "gamma of the gamma",

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Quantitative Finance

Understanding Entropy – A Key Concept in Physics and Finance

The concept of entropy is related to that of probability. Entropy can be defined as the measure of "disorder" in a system. A system with high order has low entropy

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History

Two Physics problems and the Birth of Quant Finance

The foundations of Quantitative Finance, the discipline which deals with the valuation and modeling of financial derivatives and financial assets,were laid on theories

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Financial & Economic Analysis

On Winning the War in Europe and Relative Sizes of QE Programmes

If history is any guide (and it usually is!), the recent successful completion of the Greek Bond Swap following the announcement of the third bailout package, is likely to

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