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Podcast: Hagan on convexity, volatility and the London Whale
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
For this episode of Quantcast, I speak with Patrick Hagan, the veteran quant who co-developed the ubiquitous SABR volatility model in 2002. He is now the managing director of Gorilla Science, a consultancy that develops quantitative models for pricing, hedging and managing risk in financial markets.
Hagan and Diana Woodward, a senior researcher at Gorilla Science, recently published an alternative solution to value convexity adjustments – a correction that accounted for the non-linear relationship between interest rates and prices in securities such as constant maturity swaps.
Augustana, USF Top Ten Preseason Picks
While both Augustana University Vikings men s and women s Track & Field teams have been picked to finish second in the 2020-21 NSIC Preseason Indoor Track & Field Coaches Polls, two of the Vikings have been chosen as preseason Athletes of the Year.
According to Augustana, Elizabeth Schaefer and Tyl Woelber were picked in the poll. Schmidt earned USTFCCCA All-Central Region honors in the 3,000 and 5,000 meter runs. At the NSIC Indoor Championships last season, she claimed runner-up finishes in both events. Woelber returns as the High Point Performer from last year s NSIC Championships where he totaled 34 points while winning the heptathlon and placing second in the triple and long jumps.