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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.

The Future is Convex: Wilmott Magazine Article
Peter Jäckel & Atsushi Kawai 3281 Views

We present analytical approximation formulæ for the price of interest rate futures contracts derived from the yield curve dynamics prescribed by a Libor market model allowing for an implied volatility skew generated by displaced diffusion equations. The derivation of the formulæ by the aid of Itô-Taylor expansions and heuristic truncations and transformations is shown, and the results are tested against numerical calculations for a variety of market parameter scenarios. The new futures convexity formulæ are found to be highly accurate for all relevant market conditions, and can thus be used as part of yield curve stripping algorithms.

Global Derivatives USA - November 17-21 2014 - Chicago IL
Quantitative Trading - Portfolio Construction - Pricing
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November 17-21 2014
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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:
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