Quantitative Models

Time and
symmetry.

Two perspectives on market uncertainty: financial clocks describe how risk evolves; symmetry organizes the relationships that valuation must preserve.

01

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 clocks

Public overview

Bespoke solutions to a universal pricing problem

Read the overview
02

Algebraic 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 algebra

Underlying ideas

  1. Relative values
  2. Unspanned uncertainty
  3. 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.