From my understanding, the typical workflow in quant work is
- Choose a model for the underlying
- Given prices of liquid instruments, calibrate the parameters of this model
- Use the parameters to valuate something more complex than the vanilla things.
In a sequence of forthcoming posts, I will cover some examples from finance.
We, at MathConsult and UnRisk, have been working on a wide range of inverse problems in the past. Some examples are:
- Identification of cooling strategies in continuous casting of steel
- Tomography of the atmosphere for astronomical applications
- How thick is the wall of a blast furnace?