The subject matter of this paper concerns the natural price barriers that markets encounter. The ideas in this paper can be applied to any market: equity, commodity, currency or fixed income. It is common market experience that prices (or yields) exhibit resistance and support: at key levels...

"The book is divided into two main parts. The first dips into the history of quantitative finance and explains its key principles, the second is about the quantitative finance industry today and how it is evolving. Finally, the book will conclude with what should happen, what needs to happen, to...

We explain the ideas behind the valuation of options with early exercise features, so called American options. We also aim to clarify some popular misconceptions about when an American option should be exercised. These misconceptions seem to be prevalent among both academics and practitioners.

We show how to use 'uncertainty' in place of the more traditional Brownian 'randomness' to model a short-term interest rate. The advantage of this model is principally that it is difficult to show statistically that it is wrong. Whether the model is useful for pricing fixed-income products is...

Two of the authors (DE and PW) recently introduced a non-probabilistic spot interest rate model. The key concepts in this model are the non-diffusive nature of the spot rate process and the uncertainty in the parameters. The model assumes the worst possible outcome for the spot rate path when...

This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH (1,1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or...