One for all and all for one: Pros and cons of a single model for pricing many instruments

Practitioner Lecture Series


Grand unified theories are perennially popular among physicists.  Grand unified models are similarly tantalising for people working in financial mathematics.  However, in practice, investors buy or sell very specific instruments, and markets can be fragmented.  We’ll look at a few examples of dislocation between popular products which are mathematically related, and ask whether a grand unified model is really that desirable after all...



John Paul Barjaktarevic (J.P. Morgan Chase)

Wednesday, November 19, 2014 - 16:30
to 17:30