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Optimal Hedging Strategies With an Application to Hedge Fund Replication: Wilmott Magazine Article
Alexandre Hocquard, Nicolas Papageorgiou & Bruno Rémillard 70 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.

The Role of Mathematics in Finance: Relevance, Reliance, Robustness
Paul Wilmott 14990 Views

This is the recording of Paul Wilmott's recent Paris lecture in which he enlightens, entertains and enrages in equal measure. His lecture is highly critical of quant modelling. On this occasion the specific targets of his disapproval are calibration, market completeness and how quant finance has become predictable. He ends on an example of ridiculous modelling from alternative risk transfer. Paul Wilmott is probably the quant most consistently critical of mathematical finance, and has been for 15 years. His denunciation of commonly held, but erroneous, beliefs is based on his own research, analysis of data, his experience running a hedge fund and, above all, basic common sense. But his negative comments rarely come without positive proposals for how mathematical modelling can be better used.

Risk Culture - 20 June 2014 | Central London - SAVE 15%
Risk Culture
20 June 2014 | Central London

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