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 area
cqf
bookshop
about us
subscribe
home
Optimal Hedging Strategies With an Application to Hedge Fund Replication: Wilmott Magazine Article
Alexandre Hocquard, Nicolas Papageorgiou & Bruno Rémillard 70 Views

The derivation of the bivariate Payoff Distribution model by Kat and Palaro (2005) represents an interesting contribution to the performance evaluation and asset pricing literature. Nonetheless, their approach for evaluating the function is significantly flawed. Recently, Papageorgiou et al. (2007) have proposed a much more robust approach to modeling the marginal distributions and copula functions, and also extend the results of Schweizer (1995) to evaluate the model and derive an optimal dynamic trading (hedging) strategy. In this paper, we will discuss the technical challenges of implementing a multivariate extension of Dybvig (1988) model and discuss the possible solutions.


xVA - Coping with the Tsunami of Compute Load
Jorg Lotze and Hicham Lahlou

 

This article gives an overview of the different xVA adjustments, such as CVA, DVA, and FVA, shows how they are typically computed, and outlines where the computational complexities lie. We give recommendations on how to achieve high performance, portability, and scalability for centralised in-house xVA implementations. We show how, by careful software design, we can easily harness, not only the power of multi-core CPUs, but also accelerator co-processors such as graphic processing units (GPUs) and the Intel Xeon Phi.


The Role of Mathematics in Finance: Relevance, Reliance, Robustness
Paul Wilmott 14990 Views

This is the recording of Paul Wilmott's recent Paris lecture in which he enlightens, entertains and enrages in equal measure. His lecture is highly critical of quant modelling. On this occasion the specific targets of his disapproval are calibration, market completeness and how quant finance has become predictable. He ends on an example of ridiculous modelling from alternative risk transfer. Paul Wilmott is probably the quant most consistently critical of mathematical finance, and has been for 15 years. His denunciation of commonly held, but erroneous, beliefs is based on his own research, analysis of data, his experience running a hedge fund and, above all, basic common sense. But his negative comments rarely come without positive proposals for how mathematical modelling can be better used.

Risk Culture - 20 June 2014 | Central London - SAVE 15%
Risk Culture
20 June 2014 | Central London

*Visit the website for more information and to SAVE 15% on registration fees courtesy of Wilmott, quote VIP code FKM62836WML*

Enhance your understanding of:
  • Risk culture as a key feature in financial crisis failures
  • Implications for risk taking and control decisions
  • Regulatory views on standards and guidance
  • Characteristics of an effective assessment tool

    Get to grips with practicalities of:
  • Socio-technical systems and risk culture
  • Controls and barriers for manipulating risk culture
  • External and internal organisational pressures
  • Perils and pitfalls of implementing culture change

    Hear the latest developments around:
  • Risk culture assessment tools pros and cons
  • Primary definitions and approaches on risk culture
  • Conducting effective risk culture surveys
  • Implementing a risk culture management programme

    *Visit the website for more information and to SAVE 15% on registration fees quote VIP code FKM62836WML*
  • Latest Tweets
    New & Improved Wilmott Jobs Board
    Now Playing
    Finance Focus: Bill Ziemba
    Finance Focus: Nick Higham

    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
    Taleb's Proof
    28 03 14:12:32 AM
    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
    Cost Engineer Job at Ogre Oil & Gas Company (Singapore)
    16 04 14: 1:47 PM
    Cuchulainn
    Nelson Mandela
    24 12 13: 9:12 PM