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| Pricing with Jump Signals in the PDE Framework: Wilmott Magazine Article |
| Domingo Tavella & Stewart Inglis |
659 Views |
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The concept of a jump, which is usually
interpreted as a sudden change in the value either of an underlying
asset or of a derivative security, provides a suitable framework that
can be generalized to solve a number of problems involving unanticipated
signals. In this paper we discuss the practical implementation of jump
models in a partial differential equation framework for pricing
derivatives under a known and unknown number of jumps, regime changes,
and reorganization. The framework lends itself ideally to treatment with
finite differences, and allows complex contingencies to be introduced in
a straightforward manner.
[First published in issue 27 of Wilmott -
July 2006]
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| Alternative Large Risks Hedging Strategies for Options |
| F. Selmi & J.P. Bouchaud |
3832 Views |
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As soon as one accepts abandoning the zero-risk paradigm of Black-Scholes, very interesting issues concerning risk control arise because different definitions of the risk become inequivalent. Optimal hedges then depend on the quantity one wishes to minimize. We show that a definition of the risk more sensitive to the extreme events generically leads to a decrease both of the probability of extreme losses and of the sensitivity of the hedge on the price of the underlying (the 'Gamma'). Therefore, the transaction costs and the impact of hedging on the price dynamics of the underlying arereduced when using this alternative hedge.
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| Valuation of Complex Illiquid Financial Instruments - Central London - 15th-18th May 2012 - 10% Wilmott Discount |
Wilmott 10% Discount Quote VIP CODE: FKM62352WMTWL
Valuation of Complex Illiquid Financial Instruments
Central London - 15th - 18th May 2012
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This summit comprises of THREE consecutive and separately bookable events
- 2-day Conference -Valuation of Complex & Illiquid Financial Instruments - 15-16 May 2012 | London
- 1-day Conference - Emerging Best Practice Approaches to Valuation Operations - 17 May 2012 | London
- 1-day Practical Workshop - Implementing and Embedding Robust Valuation Control Frameworks - 18 May 2012 | London
To register for Valuation of Complex and Illiquid Financial Assets Click here and quote VIP CODE: FKM62352WMTEM for Wilmott 10% discount. Alternatively, email custserv@infoline.org.uk or call us on +44 (0)20 7017 7702 |
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| Experienced Low Latency FX/Rates C++ Quant Developer - London - £110k + bonus - MONT230 |
Experienced Low Latency FX/Rates C++ Quant Developer required for Tier One Investment Bank Electronic Trading Team - London - £110k + bonus
Montash Associates has been retained by a Tier One investment Bank to find an experienced Low Latency Quant Developer with exceptional C++ expertise to join their successful team.
This London team is seeking an exceptional individual with excellent core C++ skills, who has specialised in low latency algo platform development, to come in and play a pivotal role in optimising, developing and maintaining their platform performance. This team is one of the most prestigious in the industry, and the candidate must be of an exceptional calibre in order to cope and excel in this demanding role.
You will join an existing base of developers, quants and traders working on high frequency electronic trading. The team is collaborative, and has a strong focus on research, culminating in a desire to generate maximum capital gain. As a quant developer, you will be given excellent support and resources to apply your talent and utilise your low latency expertise in order to design and implement High Frequency electronic trading strategies, as well as enhance existing ones.
The ideal candidate will have:
- Very strong C++ skills, with extensive experience in developing concurrent applications, multi-threading, data structures and low latency systems in an investment bank or other similar environment.
- A postgraduate degree in a quantitative or computer science subject from a top academic institution.
- Broad knowledge of asset classes, ideally in Fixed-Income, and a good understanding of High Frequency electronic trading.
- Experience in the design and development of High Frequency trading strategies and systems.
Our client is willing to offer an excellent compensation package as they want to attract the best quant developers in the world. The starting base salary is in the region of £110k, with a market leading bonus on top. There is great potential for career advancement, and if you excel in the role the financial benefit will quickly increase. Accompanying this, there will be the prestige of working on the best low latency platform in the industry.
For more information, to apply or to recommend anyone you feel would be ideal for this role please contact me in the strictest confidence on 0207 749 6066, or email me on sajadj@montash.com
Ref: SJ/LLD/176
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