Podcast: Hagan on convexity, volatility and the London Whale
Risk.net Podcast: Hagan on convexity, volatility and the London Whale Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012 For this episode of Quantcast, I speak with Patrick Hagan, the veteran quant who co-developed the ubiquitous SABR volatility model in 2002. He is now the managing director of Gorilla Science, a consultancy that develops quantitative models for pricing, hedging and managing risk in financial markets. Hagan and Diana Woodward, a senior researcher at Gorilla Science, recently published an alternative solution to value convexity a...
Source: risk.net