Engineering value, engineering risk : what derivatives quants know and what their models do
Engineering value, engineering risk : what derivatives quants know and what their models do
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工程价值，工程风险：衍生品宽客知道什么以及他们的模型做什么
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发表时间：
2014
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通讯作者：
Taylor Spears
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作者：
Taylor Spears
本文研究了衍生品“量化分析师”在场外市场为与Libor挂钩的利率衍生品工作的“评估文化”。从宽，金融数学家和经济学家的访谈数据主要在英国和美国进行，结合实地考察衍生品“宽”会议和广泛的技术来源，本文探讨了历史发展和当代模式的建模实践中使用的衍生品交易商银行定价和对冲伦敦银行同业拆借利率为基础的利率衍生品。此外，本论文使用的历史发展利率建模技术，开始于20世纪70年代末，作为一个透镜，通过它来理解的建立，分化和分离的“衍生品量化”评估文化作为一个知识和实践的身体不同于金融经济学。全文共分九章进行分析。本论文首先是一个介绍性的章节，一个章节回顾了相关的社会学和历史文献的经济和金融建模，一个章节涵盖的研究方法，在论文中使用。在第4-5章中，我将介绍衍生品宽客和金融经济学家使用的数学技术、Libor衍生品市场的社会和制度结构以及在这些市场中交易的工具。在第6章中，我将探讨这些市场中建模实践的组织模式，并强调量化专家的隐性和经验性质。在第7-8章中，我研究了目前用于为所谓的“异国情调”Libor衍生品定价的模型的“社会塑造”。这些模型起源于经济学学科，其设计目的与衍生品量化分析师目前使用的模型不同。通过追踪这些模型是如何适应作为衍生品定价的“引擎”在银行内，我强调如何建模的做法是由他们使用的组织环境中形成的。
This thesis examines the ‘evaluation culture’ of derivatives ‘quants’ working in the over-thecounter markets for interest rate derivatives tied to Libor. Drawing on data from interviews with quants, financial mathematicians, and economists conducted primarily in the United Kingdom and the United States, combined with fieldwork at derivatives ‘quant’ conferences and an extensive set of technical sources, this thesis explores the historical development and contemporary patterning of modelling practices that are used within derivatives dealer banks to price and hedge Libor-based interest rate derivatives. Moreover, this thesis uses the historical development of interest-rate modelling techniques, beginning in the late 1970s, as a lens through which to understand the establishment, differentiation and separation of this ‘derivatives quant’ evaluation culture as a body of knowledge and practice distinct from financial economics. The analysis is carried out in nine chapters. The thesis begins with an introductory chapter, a chapter reviewing the relevant sociological and historical literature on economic and financial modelling, and a chapter covering the research methodology employed in the thesis. In Chapters 4-5, I provide background on the mathematical techniques used by derivatives quants and financial economists, the social and institutional structure of the Libor derivatives markets, and the instruments that are traded in these markets. In Chapter 6, I explore the organisational patterning of modelling practices in these markets and highlight the tacit and experiential nature of quant expertise. In Chapters 7-8, I investigate the ‘social shaping’ of models that are currently used to price so-called ‘exotic’ Libor derivatives. These models originated within the discipline of economics and were designed for a set of purposes different from models currently used by derivatives quants. By tracing out how these models were adapted to serve as derivatives pricing ‘engines’ within banks, I highlight how modelling practices are shaped by the organisational contexts in which they are used.