The Quant Solution: Modeling Outside the Black Box for a More Transparent Future

by Peter Cotton, Yakov Kanter

An engaging look at a post-crisis solution to the future of quantitative modeling Authors Peter Cotton and Yakov Kanter experienced first-hand the role quants play in the markets during their time at Morgan Stanley. There, they were involved in several innovations in credit derivatives, including the first closed form basket pricer. In The Quant Solution, Cotton and Kanter dissect the financial meltdown from a quantitative analyst's perspective. The first half of this engaging story takes an in-depth look at how a financial supermarket, like Lehman Brothers or Bear Stearns, was run. The second half looks ahead to the future of quantitative finance and the role it will one day play. The challenge, as Cotton and Kanter see it, is to create a model that can be used for any type of industry and security, making it much more transparent and much less vulnerable to manipulation. They discuss here their own work behind this universal model.

304 pages, Hardcover

First published February 21, 2012