Quant of the year: Vladimir Piterbarg, Barclays Capital

Risk awards 2011


The new financial world looks very different to the pre-crisis landscape. The absence of major players such as Lehman Brothers and Bear Stearns is one obvious change, as is the reduced market for structured credit. But perhaps the biggest alteration on a practical level – at least for the quants who come up with the models that price traded options – is the explosion in the cost of funding for banks and its impact on derivatives pricing.

Traditional finance theory assumes a single risk-free rate

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