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Optimal Hedging Strategies With an Application to Hedge Fund Replication: Wilmott Magazine Article
Alexandre Hocquard, Nicolas Papageorgiou & Bruno Rémillard 92 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.


Adjusters: Turning Good Prices into Great Prices: Wilmott Magazine Article
Patrick S.Hagan 3822 Views

I'm sure we've all been there: We need to price and trade an exotic derivative, but because of limitations in our pricing systems, we cannot calibrate on the 'natural set' of hedging instruments. Instead we have to calibrate on some other set of vanilla instruments, which provide only a poor representation of the exotic. Consequently, our prices are questionable, and if we are bold enough to trade on these prices, our hedges are unstable, chewing up any profit as bid-ask spread. Here we discuss how to get out of these jams by using 'adjusters', a technique for re-expressing the vega risks of an exotic derivative in terms of its 'natural hedging instruments.' This helps prevent unstable hedges and exotic deal mismanagement, and, as a side benefit, leads to significantly better pricing of the exotic.

8th World Congress of the Bachelier Finance Society - Brussels, Belgium from 2-6 June 2014
8th World Congress of the Bachelier Finance Society - Brussels, Belgium from 2-6 June 2014

SECOND CALL FOR PAPERS

The 8th World Congress of the Bachelier Finance Society will take place in Brussels, Belgium from 2-6 June 2014. The congress is jointly organised by the Katholieke Universiteit Leuven, Universiteit Antwerpen, Universiteit Gent, Université Libre de Bruxelles and Vrije Universiteit Brussel.

The World Congress of the Bachelier Finance Society is the premier event in the international quantitative and mathematical finance calendar, attracting hundreds of participants every two years.

We hope to welcome many of you there.

We are proud to announce the following list of confirmed plenary speakers: Peter Carr, Rama Cont, Darrell Duffie, Ernst Eberlein, Paul Embrechts, Helyette Geman, Paul Glasserman, David Hobson, Ioannis Karatzas, Eckhard Platen, Steven Shreve.

Reminder abstract submission deadline

Abstracts must be submitted on-line via this link. An author may be presenter of only 1 presentation. The following required information on the abstract needs to be completed:

Abstract title (max. 160 characters)
Personal data of the corresponding author
Presentation format preference (oral presentation or poster presentation)
Selected congress topic
Keywords (min. 3 - max. 4)
Bullets to summarize the paper and its highlights (max. 5)
Abstract text (max. 2500 characters incl. spaces)
Personal data of the co-author(s) (if any)

The deadline to submit an abstract is 31 December 2013.

For questions about your abstract submission, please contact Mrs Mieke Akkers by e-mail: BFScongress2014@momentum-pco.be or telephone +32.16.404555.

The results of the selection procedure will be sent by 28 February 2014.

The congress opening is scheduled on Monday 2 June 2014 at 2 pm; registration is open from 12 pm (noon). The congress ends on Friday 6 June 2014 at noon.

Participants can register online via this link. Via the congress website, participants can also book hotels at preferred rates. We note that participants are responsible for their own hotel bookings and travel arrangements.

The deadline for early bird registration is March 7, 2014.

More information is available on the conference website www.bacheliercongress.com/2014/
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