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Multivariate Smiling: Wilmott Magazine Article
Peter Leoni & Wim Schoutens 423 Views

The paper presents an application of the Variance-Gamma distribution to price multivariate derivatives. The paper focuses on the practical implementation of the model in a multivariate setting. Several calibration procedures are discussed and applied to examples. In particular, we focus on the pricing differences for several exotic structures between the MultiVariate Variance-Gamma Model and the MultiVariate Black-Scholes Flat Volatility Model.
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.

Equity-to-Credit: the Death of the Implied Volatility: Finance Focus - Apr 2004
Philippe Henrotte 7838 Views

The speaker at the April Finance Focus (the free evening seminars for quants professionals, held by Wilmott and 7city) was Philippe Henrotte from
ITO33. The presentation was held at the Financial World Bookshop on Bishopsgate and was titled "Equity-to-Credit: the Death of the Implied Volatility". 

This event was sponsored by

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

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Major General Jonathan Shaw CB CBE, Former Assistant Chief Of Defence Staff, UK MOD
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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
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Tim Harford, Behavioural Economist, Author & Financial Times Journalist

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