Risk Latte - The Financial Engineering Resource
Financial Markets and Trading
Degeneracy in the Financial Markets
Degeneracy is a concept in mathematical physics. In quantum mechanics degeneracy refers to the fact that more than one quantum state has the same energy level.
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Quantitative Finance
Ornstein-Uhlenbeck Process in Interest Rate Models
Deutsche Bank quants, Marcus Overhaus, Hans Buehler, Ana Bermudez, Andrew Ferraris, Christopher Jordinson and Aziz Lamnouar in their book Equity Hybrid Derivative
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History of Finance
Harry Markowitz and the Covariance of Asset Returns
It is interesting to note that Harry Markowitz introduced the statistical concept of "Covariance" in the early 1950s while working on the portfolio selection problem
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Financial and Engineering Mathematics
Hessian Matrix and its Applications in Financial Risk
In many areas of quantitative finance, we encounter a Hessian matrix. A Hessian matrix is useful in analyzing saddle points
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Economics & Business Studies
Quantity Theory of Money - the Fisher-Friedman Illusion!
Irving Fisher of Yale in 1911 came up with the equation of money and laid the foundations of the quantity theory of money
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Greg Griffin
Head Quant
Eclipse Options
Hong Kong
Andy Mayer
CFE Graduate
FX Options Trader
CIBC, Hong Kong
Ken Hagino
CFE Graduate
Bank of America Merrill Lynch
Hong Kong
James de Castro
Formerly, Head of Trading Merrill Lynch,
Hong Kong
Jerry Yoon
Managing Director
Royal Bank of Scotland
CFE Graduate
Anshum Bhambri
Equity Derivatives Structurer
Ex-Deutsche Bank
CFE Graduate
Clarence Simard
CFE Graduate
Ph.D. student
University of Montreal
Montreal, Canada
Boris Mangal
FX Options trader
RBC Capital Markets
Francois Laine
Rabobank International
Clarence Simard
CFE Graduate
HEC Montreal, Canada
Subject: Modelling Illiquidity
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