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| Pricing Basket Options With Skew |
| Dong Qu |
2104 Views |
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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.
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| Finance Focus With Aaron Brown: That's No Way to Run an Economy |
| Wilmott & 7city |
6278 Views |
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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).
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| Wilmott-Taleb - Robust Risk Management - To be announced - London |
Wilmott-Taleb "Robust Risk Management" course.
* TBA
* Central London
* £1999+VAT
The URL for online payment is
http://www.wilmott.com/swt_main.cfm
Robust Risk Management With Wilmott And Taleb
AN EXCLUSIVE TWO-DAY WORKSHOP
PAUL WILMOTT & NASSIM NICHOLAS TALEB
TBA
LONDON
In this course they will point out exactly where people are still making fundamental errors.
Subjects covered:
* We live in a complex system. What does it mean?
* Interdependence and risk sharing
* Robustness, redundance and degrees of complexity
* Those who can blow up will blow up
* Why complex systems cannot handle leverage
* The fate of complex derivatives
* Which eggs we'll have to break to make the omelette: a glimpse at the only possible future
* How to simulate fat tails
* The concept of delta-alpha
* The commonest quant mistakes
* Why calibration does not work
* The dangers of correlation
* Importance of nonlinearity
* Why simple models are often the best and why too much math can be dangerous
* A summary of what to do Places for this course will go very quickly
Course benefits:
* Two days with the two most influential derivatives practitioners
* Learn about blow ups and how to avoid them
* A focus on the wrinkles of practice by those who have most influenced applied derivatives thinking
* Restricted class size to maximize interaction and allow individual attention
* Learn from the author of Paul Wilmott on Quantitative Finance
* Meet Nassim Nicholas Taleb, author of Dynamic Hedging
Who should attend this course:
* Derivatives professionals who want an extra edge
* Risk managers who need to figure out things not in books and equations
* Experienced traders who want some perspective
* Sell-side managers who want to see where their money is at risk
* Buy-side managers who want to improve their risk/return profile
Price £1999 plus VAT
Please note:
This course is not offered online
Course notes are not separately available
http://www.wilmott.com/swt_main.cfm |
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| Experienced Energy Trader at High Volume Market Making Firm (Chicago) - NJF627 |
Experienced Energy Trader at High Volume Market Making Firm (Chicago)
REQ:
High Frequency trading experience (Minimum of 2 years plus working experience of energy trading or comparable experience.)
Ability to do light programming work using multi-dimensional arrays, nested loops, complex conditionals, and simple file I/O
Fluent in Excel with familiarity in VBA or .NET framework
Strong mathematical aptitude
Bachelor's degree with solid GPA
Learns new concepts quickly
Can be trusted to use good judgment
Is honest and trustworthy
Values teamwork but can still think independently
Can communicate effectively and under pressure
Can adapt to changing situations with ease |
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| 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 Deventer“s 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 |
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