Quant of the year: Artur Sepp
Risk Awards 2024: ‘Robust’ stochastic volatility model came along just when it was needed
Source: risk.net
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Andrei Lyashenko - Risk.net
Andrei Lyashenko is the head of market risk and pricing models at Quantitative Risk Management in Chicago and an adjunct professor at the Illinois Institute of Technology
Source: risk.net
Introducing the factor Heath-Jarrow-Morton term structure modelling framework
A framework for rates that links real-world and risk-neutral measures is presented
Source: risk.net