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The Alternating Direction Explicit (ADE) Method for One-Factor Problems: Wilmott Magazine Article
Guillaume Pealat and Daniel J. Duffy 603 Views

In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black-Scholes, local volatility, uncertain volatility).
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.


Finance Focus With Aaron Brown: That's No Way to Run an Economy
Wilmott & 7city 7367 Views

The basic problem of economics is to take a given set of assets, skills and preferences for a group and organize the optimal activities according to some preference aggregation function. The field of finance is responsible for designing tools to help in this process. Money is an early tool. You assign a weight to every input and potential output, and ask each member of the group to do a one-dimensional linear local optimization. You shower all good things on the members who do this well, and grind the ones who do it badly into misery. The results of these local optimizations feed back into the weight assignments which makes the process high dimension and nonlinear, even though individuals only have to solve univariate linear problems. The approach works well when things are smooth and there a unique global optimum, but if not it can be unstable or get stuck in unpleasant local optimums. Central planning is a tempting approach to mathematical modelers because in principle it can solve the global multidimensional nonlinear problem. It allows the organization of activity to be solved independently of the distribution of outputs, less showering, less misery. It has a reputation for failure, but perhaps with recent advances in applied mathematics combined with more powerful computers it could now outperform money. The game of poker is another approach and I will argue it was responsible for more economic progress in the 19th century than the money economy and that it has popped up in interesting ways at key points of the 20th century. Derivatives trading, which evolved from poker games, is another approach. Rather than have lots of people solve low-dimensional linear local problems, it asks a small group of people to solve higher dimensional nonlinear global problems. The feedback loop is multidimensional and also higher frequency than with money. Showering of good things and misery are still allocated according to optimization skills, and in an exaggerated manner, but only for the trading group. I will discuss the pros and cons of these approaches from the standpoint of mathematical programming (i.e. considerations of social justice, human happiness and morality were reserved for post-talk drinks).

RiskMinds Risk & Regulation Forum 2014 - 22 to 25 September 2014, Crowne Plaza Barcelona - Fira Center
RiskMinds Risk & Regulation Forum 2014
22 - 25 September 2014, Crowne Plaza Barcelona - Fira Center

http://www.riskmindsregulation.com/FKN2423WLW

The RiskMinds Risk & Regulation Forum is the meeting place for 250+ CROs, global Supervisors, renowned Academics and expert industry Practitioners to meet and discuss the key issues in risk management and financial regulation across the banking, insurance and asset management industries.

An exceptional line-up of senior risk experts have already confirmed their place on the line-up, including:

Gavin Stewart CRO & Head of Risk, FCA
Raj Singh, Chief Risk Officer, STANDARD LIFE
Jean-Jacques Van Helten, CRO, Europe, BANK OF MONTREAL
John McMurray, Chief Risk Officer, RUSSELL INVESTMENTS
Major General Jonathan Shaw CB CBE, Former Assistant Chief Of Defence Staff, UK MINISTRY OF DEFENCE
Kevin O'Rourke, Chief Risk Officer & General Manager, MIZUHO CORPORATE BANK
Martin Spolc, Adviser to the Director General, Internal Market Services, Financial Services, EUROPEAN COMMISSION
Alex Duncan, CRO, JUST RETIREMENT
Ian Goldin, Professor of Globalisation and Development and Director, OXFORD UNIVERSITY
Michel Araten, Former Managing Director, EX-J.P.MORGAN
Oliver Gilvarry, Senior Policy Advisor, CENTRAL BANK OF IRELAND
David Suetens, International CRO, STATE STREET
Stephen Coombes, CFO, SUN LIFE FINANCIAL
Corien Wortmann-Kool, Vice Chair, EPP GROUP
Annette Olesen, Group CRO, NORDEA LIFE & PENSIONS
David Suetens, International CRO, STATE STREET
Ken Abbott, COO, Market Risk, MORGAN STANLEY

Key themes to be addressed at this year's forum include:

Beyond Basel III: Learning The Lessons of Basel II & Solvency II
The Future of Solvency II: Looking Beyond Compliance To Create Competitive Advantage
Modern Day Regulation: Analysing The Benefit/Burden
The Single Supervisory Mechanism: Assessing The Future Of Regulation & The SSMs Role
The ORSA: Extracting The Business Benefits
Comframe: Looking At the Successes Of Field Testing
Risk Appetite: Ensuring That Risk Management Is Part Of Everyone?s Responsibility
Risk Culture: Defining Risk Culture Through Key Indicators
EMIR: Determining The Optimal Set Up & Handling Of Trading On OTC Derivatives Changes Under EMIR
Shadow Banking: Aligning Asymmetries in Asset Management, Banking & Insurance
Cyber Security: Looking At the Technical & Cultural Challenges Of Managing Information Insecurity
Rethinking the Business Model: Looking At Profit & Efficiency Retention In Light Of Regulation
Risk Governance: Overcoming Challenges To Implement Risk Controls, Culture & Appetite

Visit the website for more details and don?t miss details of the 2 Practical Workshops on 22nd September:

Stress Testing Workshop - Assessing the results of the health check with Ken Abbott, Managing Director, Head of Quantitative Risk Management, MORGAN STANLEY
Risk Weighted Assets - RWA and meeting regulatory capital ratios with Michel Araten, Ex-Managing Director, J.P.MORGAN CHASE

Don't miss your chance to join us - you can get a 10% discount when you quote the VIP code FKN2423WLW.
For more information or to register please visit the website:

http://www.riskmindsregulation.com/FKN2423WLW

Call: +44 (0) 20 7017 7200 or email info@icbi.co.uk info@icbi.co.uk
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