Value-at-risk model performance during covid-19

We investigate three different Value-at-Risk models and their performance during the last year, including the Covid-19 turmoil.

2020-12-15 News

Heston library added to Quantlab

The Heston model has been around for a good 25+ years.  Why would we add a this model to our library now? In recent time there has been some ground breaking research into numerical stability when calibrating models such as the Heston. We have chosen to implement a number of those recent advances and are very pleased with the results.  

2020-12-11 News

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