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Optimal Hedging Strategies With an Application to Hedge Fund Replication: Wilmott Magazine Article
Alexandre Hocquard, Nicolas Papageorgiou & Bruno Rémillard 71 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.


The Xenomorph Finance Focus recording
Brian Sentance 11941 Views

What the spreadsheet said to the database, just before the regulator shut down the trading floor...

Brian Sentance, of Xenomorph Software, talks about his experience in the area of pricing model integration and derivatives data management, in particular focusing on some recent R&D work that Xenomorph have undertaken to look at bringing the best of spreadsheet and database technology together.

Cyber Threat & Operational Risk - 1 July 2014 | Central London - SAVE 15%
Cyber Threat & Operational Risk
1 July 2014 | Central London

*Visit the website for more information and to SAVE 15% on registration fees courtesy of Wilmott, quote VIP code FKM62837WML*

Enhancing cyber risk management frameworks:
  • Key characteristics & technical terminology
  • UK government's '10 steps to cyber security'
  • Monitoring key systems and networks
  • Network security and penetration testing

    Effectively monitoring the cyber threat environment:
  • Horizon scanning & internal defence monitoring
  • Learning from external events
  • IT and cyber risk indicators triggers and limits
  • Integrating IT and operational risk indicators

    Benefiting from value adding IT governance:
  • Incorporating IT within the Op Risk framework
  • Bringing business and IT managers together
  • Building the Information Security Policy
  • Third party management

    *Visit the website for more information and to SAVE 15% on registration fees quote VIP code FKM62837WML*

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