All New Wilmott Jobs Board                     (r)
Subscribe to Wilmott
Follow us on Twitter
join wilmott
login
forums
blogs
wiki
articles
audio visual
file share
news
events
jobs board
search
magazine
cqf
about us
subscribe
home
UnRisk: Finance@Court
Andreas Binder

Municipalities would do well to analyze payoffs and the risk of swaps before taking a leap with taxpayers' money...

Low Strike Extrapolation for SABR - d-fine
Sebastian Schlenkrich, André Miemiec, Tilman Wolff-Siemssen, d-fine GmbH, Frankfurt, Germany

In this paper we analyse the modelling of rate options in a low interest rate market environment. In particular, the pricing of low, zero and negative strike vanilla options is considered. We review the modelling approaches available in the literature. For the important special case of the widely used SABR formula we illustrate the shortcomings connected with the low strike wing of the smile.

Moreover, a simple approach of low strike extrapolation will be presented. It is based on gluing the density function implied by the standard SABR formula to a suitable density function at low strikes in an arbitrage free manner. This approach yields a robust and transparent method to price low, zero and negative strike vanilla options.

The Legacy of Beat the Dealer
Edward O. Thorp 5953 Views

 

It has been forty years since the first edition of Beat the Dealer was published in November, 1962.  This led Paul Wilmott to ask me if I'd like to write a few words for the website.

The seed that would become Beat the Dealer was planted two years earlier, in November 1960, as a proposed talk to the January, 1961 Annual Meeting of the American Mathematical Society.

The 2014 Regulatory Summit on: Risk Data Aggregation & Reporting | 24 - 25 September 2014, Venue TBC, Central London
The 2014 Regulatory Summit on: Risk Data Aggregation & Reporting
24 - 25 September 2014, Venue TBC, Central London - VIP Code: FKM62862WMTEM

View Latest Agenda| | Register by 22 August & Save £100 + Extra 10% Courtesy of Wilmott

Don't miss out on your last chance to take advantage of our early bird savings, register by this Friday and save £100!

Key highlights of what you can expect:

- 3 Regulators discuss data priorities
- 15+ Risk Data experts on the speaker panel
- Case studies from leading banks including: Lloyds Banking Group¸ Credit Suisse, UBS, Santander, RBS, Deutsche Bank,
Raiffeisen Group, State Street Bank, ABN Amro

Regulatory insights and clarity on risk data regulation:

- Financial Stability Board: Data Gaps framework
- Requirements and timelines for BCBS 239, LEI and the FDSF
- Regulatory roundtable: National interpretation of the BCBS 239 Risk Data Aggregation and Reporting principles

Enhance aggregation and reporting capabilities within the bank:

- Achieving data aggregation across the group
- Practical steps to accuracy and integrity for risk data
- Reconciliation and control systems for risk data
- Developing an information delivery process for risk data

Overcome architectural challenges to leverage risk data for the business:

- Ensuring data lineage processes
- Investing in operating models for Risk and Finance data
- Leveraging risk data to improve the bank?s understanding of customers
- Overcoming process and technology challenges in a cost saving and efficient way

View Latest Agenda| | Register by 22 August & Save £100 + Extra 10% Courtesy of Wilmott

Hear from Regulators and Heads of Risk, Data and Architecture from Banks:

Pietro Franchini
Secretariat
FINANCIAL STABILITY BOARD

Olya Ranguelova
Head of Section International Affairs Department
ACPR

Matthew Trager
Head of Finance Architecture & Design Finance COO
LLOYDS BANKING GROUP

Gulsh Mandair
CRO: Risk Analytics & Reporting, BCBS 239 Lead
CREDIT SUISSE

Marie-Christine Crewe
Managing Director, Head of Risk Control Operations
UBS

Beat Hodel
Head of Group Risk Controlling (CRO)
RAIFFEISEN GROUP

Alessandro Ricci
Vice President, Chief Risk Officer
STATE STREET BANK SPA

Barry Smith
Director
AVANTAGE REPLY

Patrick Dewald
Director
DIAKU

Tony Chau
Executive Director, Lead Architect IB CTO
UBS

Javier Villanueva
Process and Change Management
SANTANDER

Adrian Maconick
Director, Regulatory and Risk Data Projects
FINSBURY SOLUTIONS


View the full list of confirmed speakers

Remember to Book by this Friday 22 August to Save £100 + Extra 10% Discount Courtesy of Wilmott

To register:
Visit the website
Email: custserv@infoline.org.uk
Call: +44 (0)20 7017 7702

Don't forget to quote your VIP Code FKM62862WMTEM

Kind regards, Holly Clawson
Marketing Manager
Infoline Conferences

P.S. If you can't attend an event, you don't need to miss out completely! Click here to buy the documentation.
Oanda
Latest Tweets
New & Improved Wilmott Jobs Board
Now Playing
Finance Focus: Andreas Binder

Latest Blogs
Paul
You Naughty Spies
29 01 14: 12:10 PM
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
Trans-Siberian Orchestra: Rock Version of "Carol of the Bells"
20 12 14: 3:09 PM
Cuchulainn
Summer time
27 06 14: 9:55 AM