Normally Distributed Short Rate Models Are Dead - Long Live Normally Distributed Short Rate Models

Take the Hull-White model scheme that is normally distributed..

Its disadvantage: interest rates can become negative.
Its advantage: interest rates can become negative.

Markets shifted to new regimes where interest rates not only become theoretically negative because of the random walk, but in reality.

Raging Bulls?

Wired: How Wall Street Got Addicted to HFT?

We, at UnRisk, do not take an ethical or cultural view on high-frequency trading - we like innovative spirals and new technologies.

Analogies, Metaphors and Big Problems

Innovation is often the act of transferring solutions that work well in one sector to another. A problem here might have a great solution elsewhere.

Celebrating 11 Years of UnRisk

This is the very first announcement.

UnRisk - From Derivatives Pricing to Advanced Risk Management Processes

6-Nov-12, 2 pm, Vienna, Grand Hotel, Kärntner Ring 9

Long-Term Cheating Is Difficult

Googling "Libor scandal" I get about 17 Million results. Don't be afraid, I am not adding another comment or assessment. It is self explaining .. ? Is it?

UnRisk Goes Multi Language II

In UnRisk Goes Multi Language I have outlined the All-New UnRisk concept of representing the domain-specific programming front-end in different languages.