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Optimal Hedging Strategies With an Application to Hedge Fund Replication: Wilmott Magazine Article
Alexandre Hocquard, Nicolas Papageorgiou & Bruno Rémillard 95 Views

The derivation of the bivariate Payoff Distribution model by Kat and Palaro (2005) represents an interesting contribution to the performance evaluation and asset pricing literature. Nonetheless, their approach for evaluating the function is significantly flawed. Recently, Papageorgiou et al. (2007) have proposed a much more robust approach to modeling the marginal distributions and copula functions, and also extend the results of Schweizer (1995) to evaluate the model and derive an optimal dynamic trading (hedging) strategy. In this paper, we will discuss the technical challenges of implementing a multivariate extension of Dybvig (1988) model and discuss the possible solutions.

xVA - Coping with the Tsunami of Compute Load
Jorg Lotze and Hicham Lahlou


This article gives an overview of the different xVA adjustments, such as CVA, DVA, and FVA, shows how they are typically computed, and outlines where the computational complexities lie. We give recommendations on how to achieve high performance, portability, and scalability for centralised in-house xVA implementations. We show how, by careful software design, we can easily harness, not only the power of multi-core CPUs, but also accelerator co-processors such as graphic processing units (GPUs) and the Intel Xeon Phi.

Certificate in Quantitative Finance: Wilmott and 7city Learning
Paul Wilmott 4128 Views

"The demand for education in quantitative finance has never been greater, however, the ability to supply a high-quality program to satisfy that demand is as limited as ever. In putting together this Certificate we are aiming to be the best. We have focused on finding the most experienced lecturers, and the most relevant and up-to-date content. This is then provided in the most convenient and accessible manner."

The course is delivered in London and live over the internet.

Find out more about the program, sign up for the CQF Open Day, watch a lecture on 'The Binomial Method' and download the full brochure in pdf format.

Global Derivatives & Risk Management 2014 - 12 - 16 May, 2014. Hotel Okura, Amsterdam - 25% Discount
Global Derivatives & Risk Management 2014
12 - 16 May, 2014. Hotel Okura, Amsterdam

25% Discount for readers - VIP Code: FKN2383WILW

Global Derivatives brings together leading quants, traders, risk managers and academics from all over the world to discuss the key challenges affecting the derivatives market. Attending will enable you to:

    Hear technical details of the latest research being done by leading financial minds
    Learn cutting edge volatility, correlation, interest rate, FX, equities & credit modelling techniques
    Discover practical solutions to the challenges you face & learn how to implement them when you get back in the office
    Meet and learn from hundreds of senior derivatives professionals

Further information:

Telephone no.: +44 (0) 20 7017 7200
Email address:
Event URL:
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