|
|
 |
| Pricing Basket Options With Skew |
| Dong Qu |
2104 Views |
|
Equity basket options have long been important
tools in structuring financial products. They are widely used in portfolio
management and as retail products as they are typically more
cost-effective than multiple single underlying options. The components in
a basket can be single stocks (names), equity indices or funds.
Historically, managing basket option books has proved to be problematic
and rather difficult for many banks.
|
|
 |
| A Look in the Antimatter Mirror: Wilmott Magazine Article |
| The Collector, Espen Gaarder Haug |
4993 Views |
|
Take a look at yourself in the mirror.You will hopefully see a reasonably symmetric image of the real you, though your left and right sides have reversed. In this article I will explore an amazing antimatter-mirror that I recently tumbled over in the files of quantitative finance.
|
|
 |
| UnRisk, Free Seminar. Structured Products - Pricing & Risk Analytics. Shanghai - 13-Sep-10 |
UnRisk
Free Seminar. Structured Products - Pricing & Risk Analytics. Shanghai.
13-Sep-10, 14:00 - 17:00, Pudong Shangri-La Hotel, Shanghai, China
We want to point out that there are reasons to introduce mathematical schemes that are not common in financial circles and tie them together to know-how packages. We present the UnRisk way of providing process-through consistency for pricing and risk analytics.
And we want to point out that each single task in quantitative finance bear the danger of fundamental mistakes, why those can become horrible in interplay and that there is hope to avoid them and how.
UnRisk and China Quants, Shanghai, UnRisk representative, are pleased to invite you to a free seminar presenting full explanations and the required improvements.
The event will cover:
UnRisk background, technologies, coverage, products, users and uses
Model Types - can model risk be quantified?
Numerical Methods - advantages and traps of Finite Elements? Is Montecarlo just gambling?
Parameter Identification/Calibration - the fit is good, why is the price so bad?
Implementation - What can I learn from the Play Station?
Event benefits:
Exclusive insight ? full explanations of the mathematical schemes, advantages, limits, traps and improvements.
Practical examples - live
Who should attend?
Structurers, quants, front office practitioners, risk professionals, researchers
It is a free event. Places are limited to create the best experience for you.
MORE INFO AND REGISTRATION:
e-mail Mr. Andy Xia: andy@china-quants.com
About UnRisk:
See: http://www.unrisk.com/
About China Quants:
See: http://china-quants.com/quants/index.asp |
|
 |
| Quantitative Research Analyst - Proprietary Trading Firm - London /New York/Chicago - MA306 |
Quantitative Research Analyst - Proprietary Trading Firm - London /New York/Chicago
World leading global proprietary trading firm seeks a talented quantitative research analyst. This company operates multiple strategies globally across different asset classes. The culture is friendly and challenging, with opportunities to change area of expertise or even geographical location depending on your interests. They have a strong compensation culture and value the strength of multi-disciplinary teams that combine knowledge and expertise in a wide range of areas.
This specific position is to perform quantitative modelling and research of options algorithms and options related inputs such as volatility and dividends. You will be accountable for gathering and analysing data required for testing hypothesis as well as research based analysis of previous and present trading activities.
Candidates must have at least a masters degree (although a PhD is preferred) in a quantitative subject such as Mathematics or Physics from a top tier University.
You will also have at least 3 years experience of conducting financial quantitative research across any asset class. Candidates with good hands on programming ability in C/C++/Java /C#/Matlab/VBA will be preferred.
The client is keen to interview and hire as soon as possible. If this position sounds interesting to you, then please send your resume in confidence to Ada Offonry - a.offonry@mavenalpha.com or call on +44 (0) 20 3178 5678 for a discussion. |
|
|
|
 |
|
|
|
| |
|
 |
| Paul
High-frequency Trading: Where are we and how did we get here?
28 06 10: 10:30 AM |
| NNT
My Technical Appendix
16 04 09:2:40 PM |
| Collector
Unpublished, unedited, undated, unread
31 08 10:11:18 PM |
| Emanuel Derman
There Must Be A Pony
30 08 10: 9:27 PM |
| Satyajit Das
Cross Dressing in Political Economy
26 08 10: 8:08 AM |
| DCFC
deMorgans Law
22 07 09: 3:04 PM |
| Pablo Triana
Donald Van Deventerīs Self-Serving And Childish Critique
05 08 10: 12:21 AM |
| Jan Dash
Free Opera - NY Grand Opera 2010
12 07 10: 8:34 PM |
| Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM |
| Iris Mack
"Inside Job": Documentary Investigates the Financial Crisis (video)
02 09 10: 9:26 PM |
| Cuchulainn
Higher Order PDEs and the Curse of Dimensionality
06 06 10: 4:12 PM |
|
