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Optimal Hedging Strategies With an Application to Hedge Fund Replication: Wilmott Magazine Article
Alexandre Hocquard, Nicolas Papageorgiou & Bruno Rémillard 78 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.


What I Knew and When I Knew It - Part 2: Wilmott Magazine Article
Ed Thorp 5096 Views

Ed looks back to the creation of the world's first market-neutral hedge fund and pre-empting Black-Scholes.

The FREE Workout in Computational Finance 2014 - June,26 in Frankfurt, July,3 in Zurich
The FREE Workout in Computational Finance goes to Frankfurt and Zurich

First held in London, the "Workout" now goes to Frankfurt and Zurich

Dates and Locations

26-Jun-14, 14.00 to 18.00 at ROOMERS Design Hotel, Frankfurt

3-Jul-14, 14.00 to 18.00 at FOUR PONTS by Sheraton Sihlcity, Zurich

The Workout is a Reference Class of the UnRisk Academy

Whether you are a quant or a quant developer we give you full and detailed explanation of the application of advanced numerical schemes to valuation and analytics of financial instruments and portfolios.

The workout is organized in sessions motivated by solutions taken out of the bank practice. Live examples in the UnRisk Financial Language provide deep insight into the behavior of models and methods under extreme conditions.

Sessions

Extreme Vasicek is not Enough - Mean reverting short-rate models. What are the pros and cons of trees, finite differences/elements, MC techniques? Lognormal or normal? What about higher dimensions?

Model Calibration and Spurious Precision - A general framework for stable and robust parameter identification. Even with analytic inversion formulae, noise in the data can lead to results, which are pure nonsense.

When Monte Carlo is the Only Choice - More than 3 dimensions or severe path-dependence? Why QMC? How can the variance of the result be decreased? What about early exercise?

Risk Management Cascades - Regulations become more and more stringent. How can we calculate the different VaRs? Expected shortfall? In time? And how can we build an xVA system?

For all details please visit A Workout in Computational Finance

Space is limited - Register Now
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