‘When models become market infrastructure’ by Taylor Spears

Taylor Spears

When mathematical models are adopted into new fields, actors within those fields tend to modify them in order to ensure their fit with local practices and infrastructures through a process of ‘translation’. The translation of specific models has been studied, but we know little about how the translation of models into field-specific infrastructures shapes subsequent patterns of model development. 

 This talk addresses this gap by examining the translation of interest rate term structure models from academic financial economics into the infrastructures of the markets for ‘over-the-counter’ derivatives during the mid-to-late 1980s, and the subsequent patterns of term structure model development until the mid-2000s. 

Taylor Spear argues that to function as effective infrastructure for derivatives traders and ‘quants’, term structure models needed to balance two broad dimensions of infrastructural alignment that shaped subsequent model development: the ‘ontological alignment’ and ‘material alignment’. While the former refers to a model’s alignment with the specific ontology practiced by interest rate derivatives practitioners, models also needed to be performant, which entailed alignment with the specific computational systems used by banks to price and hedge their derivatives portfolios. 

This meeting of the Phinance Online Seminars will discuss these issues with Taylor Spears himself, and will be followed by an open debate.

16:30 CET, 26 May 2022



Taylor Spears
University of Edinburgh Business School – Edinburgh Futures Institute


Chair Emiliano Ippoliti, Sapienza University of Rome

Phinance Online Seminars are organized by Phinance, a Philosophy & Finance Network

Open to the public. Zoom link: https://uniroma1.zoom.us/j/83365608964

info: info@phinance.cloud