Quantitative Models
Time and
symmetry.
Two perspectives on market uncertainty: financial clocks describe how risk evolves; symmetry organizes the relationships that valuation must preserve.
Financial clocks
Financial clocks and rough volatility
Markets do not run at one speed.
A quiet afternoon and a market shock occupy the same calendar. Explore models that use financial clocks to represent changing activity, volatility and dependence, and their role in derivatives pricing.
Explore financial clocksAlgebraic models
Symmetry of the Market
More realistic models with less-than-real numbers.
An introduction to using symmetry, projective geometry and richer number systems to construct models with unspanned volatility and correlation.
Explore symmetry and algebraUnderlying ideas
- Relative values
- Unspanned uncertainty
- Structured dynamics
Models and contracts
From uncertainty to valuation.
SHTAR describes a contract's observations, payments and remaining obligations. Market models provide dynamics with which to value them.