All New Wilmott Jobs Board                     (g)
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: 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 (http://www.arxiv.org). This marks an amazing explosion of noncommutative geometry onto the scenes of theoretical physics.

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
Oanda
Latest Tweets
New & Improved Wilmott Jobs Board
Now Playing

Finance Focus: Bill Ziemba
Latest Blogs
Paul
Now is the Perfect Time to Raise Interest Rates
13 01 15: 11:31 AM
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
Proprietary Trading Firms: Listings and Reviews
26 02 15: 5:55 PM
Cuchulainn
Summer time
27 06 14: 9:55 AM