

UnRisk: Exposure Skewness 
Andreas Binder & Michael Aichinger 

Swap 4175 between the City of Linz and BAWAG P.S.K. Is currently the subject of a trial at Vienna's commercial court. This article examines how a single instrument CVA calculation for Swap 4175 could be carried out. In such a CVA calculation, market risk and counterparty risk are coupled.



CQF Turns Eleven 
Wilmott Magazine 

As the Certificate in Quantitative Finance marks its 11th year we take a look at the history of a program that has built a reputation on delivering far beyond expectations.



Wilmott Magazine Article: How to Avoid a Hedging Bias 
Antje Mahayni 
3510 Views 
Hedging strategies for derivatives which are considered in theory and applied in practice are understood to perform selffinancing and to duplicate the final payoff. Of course, this is only valid with respect to an assumed model, called "hedging model", which specifies a set of postulates about the evolution of the underlying stock prices.



Wilmott and Taleb seminar 1213 March London 
Join Paul and Nassim for their infamous twoday seminar. Always at the cutting edge of financial thought.
QUANTITATIVE RISK MANAGEMENT  IN THEORY AND IN PRACTICE
1213 March 2015, London
 What is Risk?
 What are Fat Tails?
 The idea of fragility and how to measure it
 Size and scaling
 The law of large numbers in the real world
 What is complexity?
 How to price options using different distributions
 How to simulate fat tails
 How to measure model risk
 How not to measure model risk
 Sometimes it's wrong to use probabilities
 The concept of deltaalpha
 The commonest quant mistakes
 The greeks that give you false hope
 Why calibration does not work
 The dangers of correlation
 The importance of nonlinearity
 Volatility nonsense
 What commonsense tells you about volatility, and turning that into a model
 Why simple models are often the best and why too much math can be dangerous
 A summary of what to do and where the real world is different
Price: £1999 + VAT
The URL for online payment is http://www.wilmott.com/seminar_wt.cfm
This course is not available online
Course notes are not available separately 











Paul
Now is the Perfect Time to Raise Interest Rates
13 01 15: 11:31 AM 
NNT
Quiz 7  The problem with "drift" (The 1st who gets it wins a copy of The Black Swan )
13 03 07:12:48 PM 
Collector
Unified Book Launch Oslo
05 12 14:5:19 PM 
Emanuel Derman
RSS Feed to Reuters Blog
01 07 11: 4:02 PM 
Satyajit Das
The Truth of the Matter
04 11 13: 4:57 AM 
DCFC
deMorgans Law
22 07 09: 3:04 PM 
Pablo Triana
Models On Models
21 05 11: 4:49 PM 
Jan Dash
New paper "Market Crises, Earthquakes, and the Reggeon Field Theory"
11 06 13: 2:36 AM 
Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM 
Iris Mack
Kids Explain Futures Trading
01 03 15: 7:59 PM 
Cuchulainn
Summer time
27 06 14: 9:55 AM 
