Articles

Monte Carlo in Esperanto

2nd April 2018 Editor 0

This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo. The clsMathParser is a class for math expression evaluation in Excel/VBA. We show that a […]

Articles

Not-so-complex Logarithms in the Heston Model

5th February 2018 Editor 0

In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. […]

Articles

Six Degrees of Idiocy

22nd January 2018 Editor 0

One of the classic works of poker, and risk management, is Herbert Yardley’s 1957 best-seller, The Education of a Poker Player, Including Where and How One Learns to Win. Yardley is an important transitional figure. […]

Articles

Derivatives Technology as a Matter of Survival

11th December 2017 Editor 0

How can banks survive the upcoming years? The traditional business model no longer works because: 1. Low/negative interest rates: Interest rates in many major currencies (euros, CHF, JPY in particular) are low or even negative. […]

Articles

Opscore Web Service

27th November 2017 Editor 0

Two decades in the market have seen ITO33 firmly establish itself as the solution provider of choice for convertible bond specialists. This gold standard is delivered via Opscore, the firm’s front-office solution for pricing, hedging, […]

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