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The new normal: Using the right volatility quote in times of low interest rates for Solvency II risk factor modelling15 September 2015 - By Daniel Hohmann and Florian Ketterer and Karl Murray and Mario Hoerig and Russell Ward - Article

This paper analyses and explains the challenges facing the Black model in the current interest rate environment and introduces an alternative model to address them.

Replicating portfolios revisited08 October 2014 - By Alexander Tazov and Alexey Botvinnik and Florian Ketterer and and Mario Hoerig - Article

An examination of two different methods that allow for a robust and reliable calibration of replicating portfolios.

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