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Quants of the year: Andrei Lyashenko and Fabio Mercurio - Risk Awards 2020

Jan 02 2020 13:38 keyboard_arrow_downkeyboard_arrow_up Comment0 language

Quants extend Libor market model to accommodate backward rates

In case you missed it last year, has named Andrei Lyashenko and Fabio Mercurio as Quants of the Year.

“In terms of topicality, applicability and broadness, it doesn’t get much bigger than this,” says Leif Andersen, global head of the quantitative strategies group at Bank of America Merrill Lynch, himself two-times joint recipient of the Quant of the Year prize “It’s a problem that will affect every bank in the world, and this paper puts a stake in the ground.”


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