Derivatives pricing - Collateral convexity complexity

Computation methods - Cutting edges using domain integration - The authors present the semi-analytic lattice integrator tree, a domain integrator method for pricing derivatives. This method can eliminate almost all numerical noises in derivatives pricing, and therefore offers significant advantages over conventional trees in accuracy and computational efficiency,

Hu, Zhengyun, (2006)

Interest rate derivatives The CMS triangle arbitrage A dislocation between options on constant maturity swap rates and spreads in 2009 led to a static arbitrage opportunity. Here, the author shows how this can be detected, and how a copula-based model strategy can exploit it.

McCloud, Paul, (2011)

Quant of the year - Marco Avellaneda

McCloud, Paul, (2010)