The recent crisis and the following flight to simplicity put most derivative businesses around the world under considerable pressure. We argue that the traditional modeling techniques must be extended to include product design. We propose a quantitative framework for creating products which meet...

Financial markets provide a natural quantitative lab for understanding some of the most advanced human behaviours. Among them is the invention and use of mathematical tools known as financial instruments. Besides money, the two most fundamental financial instruments are bonds and equities. More...

Financial derivatives have often been criticized as casino-style betting instruments. It turns out that many naive ways of making them are indeed equivalent to gambling. Fortunately, this inadvertent effect can be understood and prevented. We present a theory of product design which achieves that

"What are the origins of risks?'' and "How material are they?'' -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for building financial products -- provides economically meaningful answers for both of these questions. It does so by...

We often think of hedging and investments as having different, even competing goals. In reality optimal hedging and optimal investments are intimately connected. One person's optimal investment is another's optimal hedge. This follows from a geometric structure formed by probabilistic...