Get your news from a source that’s not owned and controlled by oligarchs. Sign up for the free Mother Jones Daily. In 2000, while working at JPMorgan Chase, Li published a paper in The Journal of ...

MacKenzie is a very smart sociologist, who understands quants and copula functions much more deeply than I ever did. (And, like most journalists, I forgot nearly all of what I ever knew about them ...

Copula models arise in the market when quoted information about the behaviour of single assets is available but very little is known about their joint relations. Information about the joint ...

Several economic blogs have pointed me to this excellent article by Felix Salmon in Wired on the Gaussian copula devised by mathematician David X. Li in 2000. This was a mathematical formula to ...

We’ll send you a myFT Daily Digest email rounding up the latest Investment Banking news every morning. What this paper reveals that really stands out is that the quant community also didn’t, and doesn ...

Hollenbach, F.M., I. Bojinov, S. Minhas, N.W. Metternich, M.D. Ward, and A. Volfovsky. "Multiple Imputation Using Gaussian Copulas." Special Issue on New Quantitative ...

Speaking at the Quant Congress USA in New York, Jon Gregory, formerly global head of credit quantitative analytics at Barclays Capital in London, told delegates that the Gaussian copula “fails quite ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. Never were truer words spoken of a mathematical formula. Out on Friday — some über-Geeky weekend reading for ...

QUANT models and their architects are so misunderstood, often by people working in finance. It pains me, though I am biased. I spent the better part of a decade devoted to studying elegant (and ...