1-4 September 2015
Angers - France
Europe/Paris timezone

Evolution of models in evolving markets

2 Sep 2015, 16:40
30m
Angers - France

Angers - France

Speaker

Mr Marek Musiela (Oxfor Man Institute)

Description

Mathematical models are developed to capture market behaviour at a point in time and are used to gain competitive advantage over time. In the option business, for example, they are calibrated to liquid information and used to price and trade more exotic and hence less liquid products. However market liquidity changes over time, it can increase or evaporate depending on the economic conditions. This is one of the factors that drive evolution of models which need to be adapted to the changing market conditions. In this talk I will use the evolution of classical option pricing models as an example of the feedback loop: from academia to industry and back.

Primary author

Mr Marek Musiela (Oxfor Man Institute)

Presentation Materials