Insights
The pieces below are published outlines. They set out the argument and structure of articles currently being written — the full texts will replace them as they are completed.
A note can reprice by several points on a day the underlying barely moves. Most of the time the explanation is not the spot — it is volatility, dividends, funding, or the calendar.
A backtest answers one narrow question: how a fixed set of rules would have behaved on one sample of history. Most of the decisions taken on the back of it require answers to different questions entirely.
Five years of monthly returns is a sample of sixty observations. That is rarely enough to distinguish a good process from a fortunate one — but it is enough to say how much uncertainty remains.
Monitoring barriers product by product hides the exposure that matters: how much of the book is close to a trigger at the same time, on correlated underlyings.
Research code and production code have different obligations. The mistake is assuming that means writing it twice.
The surface is usually presented as a risk input. For anyone pricing structures, it is closer to a price list — and the shape explains most of what is currently cheap or expensive to issue.
Most of these pieces started as a client question. If yours is not covered here, it is worth a conversation.
