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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.

Finance Focus With Aaron Brown: That's No Way to Run an Economy
Wilmott & 7city 7434 Views

The basic problem of economics is to take a given set of assets, skills and preferences for a group and organize the optimal activities according to some preference aggregation function. The field of finance is responsible for designing tools to help in this process. Money is an early tool. You assign a weight to every input and potential output, and ask each member of the group to do a one-dimensional linear local optimization. You shower all good things on the members who do this well, and grind the ones who do it badly into misery. The results of these local optimizations feed back into the weight assignments which makes the process high dimension and nonlinear, even though individuals only have to solve univariate linear problems. The approach works well when things are smooth and there a unique global optimum, but if not it can be unstable or get stuck in unpleasant local optimums. Central planning is a tempting approach to mathematical modelers because in principle it can solve the global multidimensional nonlinear problem. It allows the organization of activity to be solved independently of the distribution of outputs, less showering, less misery. It has a reputation for failure, but perhaps with recent advances in applied mathematics combined with more powerful computers it could now outperform money. The game of poker is another approach and I will argue it was responsible for more economic progress in the 19th century than the money economy and that it has popped up in interesting ways at key points of the 20th century. Derivatives trading, which evolved from poker games, is another approach. Rather than have lots of people solve low-dimensional linear local problems, it asks a small group of people to solve higher dimensional nonlinear global problems. The feedback loop is multidimensional and also higher frequency than with money. Showering of good things and misery are still allocated according to optimization skills, and in an exaggerated manner, but only for the trading group. I will discuss the pros and cons of these approaches from the standpoint of mathematical programming (i.e. considerations of social justice, human happiness and morality were reserved for post-talk drinks).

Global Derivatives USA - November 17-21 2014 - Chicago IL
Quantitative Trading - Portfolio Construction - Pricing
Volatility - Equity - Interest Rates - FX - Commodities - Inflation - Credit - Hybrids
November 17-21 2014
Swissôtel Chicago IL
www.globalderivativesusa.com/fkn2388wilw

Receive a 15% discount - quote VIP: FKN2388WILW

Meet the North American derivatives industry and discuss new modelling techniques and effective trading, pricing & portfolio optimization strategies with the world?s leading quantitative finance practitioners! Learn from 80 Expert Speakers including:

Peter Carr , Managing Director, MORGAN STANLEY
Freddy Lim , Managing Director & Global Head Of Derivatives Strategy, NOMURA
Ray Iwanowski , Founder & Managing Principal, SECOR ASSET MANAGEMENT
Sam Priyadarshvi, Head, Fixed Income Derivatives, VANGUARD
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
Puneet Kohli, ‎Portfolio Manager, HEALTHCARE OF ONTARIO PENSION PLAN
Yin Luo , Managing Director & Global Head Of Quantitative Strategy, DEUTSCHE BANK
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
Neal Soss , Chief Economist, CREDIT SUISSE

And so many more? see website for full listing! www.globalderivativesusa.com/fkn2388wilw

Topics include:
Volatility: Strategies beyond selling volatility, VIX trading strategies, non-equity volatility, forecasting, vol of vol, modelling VIX options dynamics
Quant Trading Strategies: Developing & backtesting strategies, market impact modelling, big data, the HFT debate
Portfolio Optimization: Smart beta, factor investing, tail risk, dynamic portfolio analysis
Equity Derivatives: Dividends, optional trading strategies, modelling and trading equity correlation
Fixed Income Products: Interest rate volatility, fixed income algorithmic trading, inflation trading
Commodities: Market outlook, trading strategies, modelling FX-commodity correlation
FX: Trading strategies, FX market outlook, hedging strategies
Quantitative Approaches For Insurance Products: Variable annuities, gap risk, mortality
Discounting & Valuation Adjustments: CVA, FVA, multi-curves
Central Clearing & Regulation: Collateral, SEFs, central counterparty risk, market structure in the new regulatory environment

PLUS Portfolio Optimization Summit - November 17;

AND Technical Workshops on Volatility, Correlation & Algorithmic Differentiation ? November 21

Claim your 15% discount today on: www.globalderivativesusa.com/fkn2388wilw
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