Subscribe to Wilmott
Follow us on Twitter
join wilmott
login
forums
blogs
wiki
articles
audio visual
file share
news
events
jobs board
search
magazine area
cqf
bookshop
about us
subscribe
home
Optimal Hedging Strategies With an Application to Hedge Fund Replication: Wilmott Magazine Article
Alexandre Hocquard, Nicolas Papageorgiou & Bruno Rémillard 93 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.


Hedge Fund Risk, Disasters and Their Prevention: Wilmott Magazine Article
Bill Ziemba 5297 Views

The funds that were meant to suck, metaphorically.

5th Annual RiskMinds Americas - June 16 - 20, 2014 - Miami - 10% Wilmott Discount
5th Annual
RiskMinds Americas
June 16 - 20, 2014
JW Marriott Marquis, Miami

http://www.riskmindsamericas.com/FKN2385WLW

10% Wilmott Discount - VIP code FKN2385WLW

RiskMinds Americas is your chance to share ideas, stories, best practice and learn from the experience of over 250 senior risk management professionals from across the Americas and beyond. All aspects of financial risk will be explored, including credit, market, op, liquidity, model, investment, stress testing, capital management, regulation and more, plus special guest speakers from outside the world of finance to give you fresh perspectives on risk.

Hosting more international CROs, regulators and top level practitioners than any other risk management event in the Americas, RiskMinds Americas has proved itself as the region's top risk management conference. This year's line-up includes a cyber security expert, the CFO of a major bank, senior regulators, a board member, world-renowned academics plus senior risk managers from a wide range of firms including banks, investment managers, insurers, GSEs, private equity firms and pension funds. Already confirmed on the line-up are:

Tim P. Clark, Senior Associate Director, Division Of Banking Supervision & Regulation, FEDERAL RESERVE BOARD
Juan Yanes, US Chief Risk Officer, SANTANDER
Carlo di Florio, Chief Risk Officer & Head Of Strategy, FINRA
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS
Major General Jonathan Shaw CB CBE, Former Assistant Chief Of Defence Staff, UK MOD
Thomas Flynn, Chief Financial Officer, BMO FINANCIAL GROUP
Ken Phelan, Chief Risk Officer, RBS AMERICAS
Evan Picoult, Managing Director, Risk Architecture, CITI
Paige Wisdom, Chief Enterprise Risk Officer, FREDDIE MAC
Ed Altman, Max L. Heine Professor Of Finance, STERN SCHOOL OF BUSINESS, NYU
Geoffrey Craddock, Executive Vice President, Chief Risk Officer, OPPENHEIMER FUNDS
Eduardo Canabarro, Managing Director, Head Of Credit & Market Quantitative Risk, MORGAN STANLEY
Tim Harford, Behavioural Economist, Author & Financial Times Journalist

Visit the website for more details: http://www.riskmindsamericas.com/FKN2385WLW

Don't miss details of the Global Risk Regulation Summit on June 16 or the Practical Workshops focusing on Fundamentals of Risk Management, Credit Risk and Stress Testing.

Make sure you reserve your place ASAP to make the most of the early-bird discounts PLUS claim a 10% discount with Wilmott ? quote the VIP code FKN2385WLW

For more details or to register call: +44 (0) 20 7017 7200, email: info@icbi.co.uk or visit the website: http://www.riskmindsamericas.com/FKN2385WLW
Latest Tweets
New & Improved Wilmott Jobs Board
Now Playing
Singular perturbation problems
Free Finance Focus Event with NAG and Wilmott
Latest Blogs
Paul
You Naughty Spies
29 01 14: 12:10 PM
NNT
Quiz 7 - The problem with "drift" (The 1st who gets it wins a copy of The Black Swan )
13 03 07:12:48 PM
Collector
Taleb's Proof
28 03 14:12:32 AM
Emanuel Derman
RSS Feed to Reuters Blog
01 07 11: 4:02 PM
Satyajit Das
The Truth of the Matter
04 11 13: 4:57 AM
DCFC
deMorgans Law
22 07 09: 3:04 PM
Pablo Triana
Models On Models
21 05 11: 4:49 PM
Jan Dash
New paper "Market Crises, Earthquakes, and the Reggeon Field Theory"
11 06 13: 2:36 AM
Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM
Iris Mack
Energy Risk Management & Trading Job (Singapore)
23 04 14: 1:59 PM
Cuchulainn
Nelson Mandela
24 12 13: 9:12 PM