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Callable Swaps, Snowballs, and Videogames: Wilmott Magazine Article
Claudio Albanese 663 Views

Although economically more meaningful than the alternatives, short rate models have been dismissed for financial engineering applications in favor of market models as the latter are more flexible and best suited to cluster computing implementations.

In this paper, we argue that the paradigm shift toward GPU architectures currently taking place in the high performance computing world can potentially change the situation and tilt the balance back in favor of a new generation of short rate models.

Stochastic Processes in Finance - Part II: Wilmott Magazine Article
Jörg Kienitz 1863 Views

We apply the results from the first part of the series to study several financial models and the processes used for modelling. We start with Geometric Brownian Motion and increase the complexity by adding jumps or a stochastic processes for modeling the volatility. Finally, we study a very general class, namely Generalised Hyperbolic models. For all models we state distributional as well as path properties.

Liquidity Management & Optimisation 2015 - 24 September 2015 - Central London, UK
Liquidity Management & Optimisation 2015
24 September 2015 - Central London, UK

With the finalisation of the LCR in October, the market place is taking stock of the new liquidity environment and market place. The 2015 Liquidity Management & Optimisation event is structured to give a comprehensive overview of liquidity regulations and developments into 2016 post-LCR, direct from a range of Bank speakers.

Some of the key sessions at Liquidity Management & Optimisation:

    PRA Update: Finalised Liquidity and Risk Supervision Rules and Guidance
    Intraday: Expectations for the EBA?s 2016 Paper and How to Manage the SREP and BCBS248 Requirements
    Panel session: Optimising the Balance Sheet in the New Liquidity Environment
    Minimizing Liquidity Consumption through the Dynamic Management of Asset Correlations
    New Approaches to Liquidity Stress Testing

Expert speakers you can hear from include:

Colin Johnson, SANTANDER
Karin Boonlertvanich, KASIKORNBANK
Chris Blake, HSBC

Learn more, view the latest agenda and register today at - quote VIP code FKM63259WML to save 15%on registration courtesy of Wilmott.
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