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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.

A Foreword to ?Noncommutative Geometry and Stochastic Calculus: Applications in Mathematical Finance?
Eric A. Forgy 3646 Views

Noncommutative geometry is a relatively new branch of mathematics pioneered by the Fields Medalist Alain Connes [1] during the early '80s. Since its inception, noncommutative geometry has established itself on the forefronts of modern research in mathematics and has been steadily etching a place for itself in theoretical physics. This is particularly true since the appearance of the influential paper by Seiberg and Witten [2], which as of the time of this writing has been referenced nearly a thousand times in just three years according to the preprint archive ( This marks an amazing explosion of noncommutative geometry onto the scenes of theoretical physics.

Global Derivatives USA - November 17-21 2014 - Chicago IL
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November 17-21 2014
Swissôtel Chicago IL

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Ray Iwanowski , Founder & Managing Principal, SECOR ASSET MANAGEMENT
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Wiley Pickett , Senior Commodity & FX Derivatives Strategist, FORD MOTOR COMPANY
Marcos Lopez de Prado , Senior MD, GUGGENHEIM PARTNERS
Indrani De , Director Of Quantitative Research, NEW AMSTERDAM PARTNERS
David Jessop , Managing Director, Global Head Of Equities Quantitative Research, UBS
Nicolas Mougeot , Principal Director, Advisory & Research, CAISSE DE DÉPÔT ET PLACEMENT DU QUÉBEC
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Ed Tom , Head, Equity Derivatives Strategy, CREDIT SUISSE
Cris Doloc , Head Of The Valuation Infrastructure Group, CHICAGO TRADING COMPANY
Michael Hunstad , Senior Vice President & Head Of Quantitative Research, NORTHERN TRUST ASSET MANAGEMENT
Neil Joshi , Co-Chief Investment Officer, PEAK6 INVESTMENTS
Marco Avellaned a, Professor Of Mathematics & Finance, COURANT INSTITUTE, NYU
Benjamin Bowler , Global Head Of Equity Derivatives Research, BANK OF AMERICA MERRILL LYNCH
Bruno Dupire , Head Of Quantitative Research, BLOOMBERG
Jessica James , MD, Head, FX Quantitative Solutions Team, COMMERZBANK
Anlong Li , Head Of Quantitative Volatility Group, ALLSTON TRADING
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