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| Pricing Rainbow Options: Wilmott Magazine Article |
| Peter Ouwehand, Graeme West |
447 Views |
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A previous paper (West 2005) tackled the issue
of calculating accurate uni-, bi- and trivariate normal probabilities.
This has important applications in the pricing of multiasset options, e.g.
rainbow options. In this paper, we derive the Black—Scholes prices of
several styles of (multi-asset) rainbow options using change-of-numeraire
machinery. Hedging issues and deviations from the Black-Scholes pricing
model are also briefly considered.
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| Global Derivatives & Risk Management 2012 - Barcleona - April 16-20th 2012 - 15% Discount for Wilmott users |
Global Derivatives & Risk Management 2012
15% Discount for readers - VIP Code: FKN2329WILW
Event start date: April 16, 2012
Event end date: April 20, 2012
Location: Hotel Arts, Barcelona
Global Derivatives brings together leading quants, traders, risk managers and academics from all over the world to discuss the key challenges affecting the derivatives market. Attending will enable you to:
- Hear technical details of the latest research being done by leading financial minds
- Learn cutting edge volatility, correlation, interest rate, FX, equities & credit modelling techniques
- Discover practical solutions to the challenges you face & learn how to implement them when you get back in the office
- Meet and learn from hundreds of senior derivatives professionals
Further information:
Telephone no.: +44 (0) 20 7017 7200
Fax. +44 (0) 20 7017 7807
Email address: info@icbi.co.uk
Event URL: http://www.informaglobalevents.com/FKN2329WILW
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| Algo Trading systems developer - London - £80,000 - £130,000 base DOE + up to 100% bonus - GQR303 |
Algo Trading systems developer - London
SALARY RANGE OR SPECIFIED NUMBER + BONUS
£80,000 - £130,000 base DOE + up to 100% bonus
JOB DESCRIPTION
This is an outstanding opportunity to join one of the most prestigious technology teams in algorithmic trading. We're looking for algo trading systems developers to work closely with a leading investment bank in the rates or commodities space. These roles cover the high frequency market data feeds, statistical trading signal generation system and high frequency electronic execution components that constitute the trading platform.
Exceptional technology skills; recognised by your peers as an expert in your domain
Extensive Java experience, OO design and patterns
Extensive experience of relational data modelling, including DML and DDL
A proponent of agile development methods; continuous integration, unit testing, refactoring and related approaches
Experience of distributed, concurrent processing server-side development
Proficient working on all major platforms - Linux, Windows and UNIX; working knowledge of various scripting languages
Experience of a range of open source frameworks: Spring (or other DI), Eclipse, Maven
Experience of event driven, asynchronous architectures and messaging/market data processing
Knowledge of statistical methods and probability and their application to trading systems
Oracle and / or OneMarketData OneTick time series database
Additional programming languages - C++, R and Python would be a plus
Experience in the front office technology group of a trading organisation (hedge fund, investment bank ? ideally within either FX interest rates or commodities.)
Keywords: Hedge fund, Algo Developer, Algorithmic developer, stat arb developer, Implementing, Quant Analyst, Quantitative Analyst, Trading Desk, high frequency, execution, London, commodities, commodity, FX, interest rates, rates
Although preferable, we do not require a CV, please feel free to get in touch regarding this role to talk to a member of the team to discuss this role. For more current openings with our clients, please see www.g-q-r.com/vacancies
We Welcome speculative and tentative applications roles and others of a similar nature that we may have available on our books.
Applying: Quant-Jobs@globalquantrecruitment.com
Ref: JB9627
Contact Telephone Number: +44 (0) 203 207 9090
Linked In: http://www.linkedin.com/e/vgh/1615777
Website: www.G-Q-R.com |
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