Articles

Automatic Differentiation for the Greeks

16th April 2017 Editor 0

The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option position, as well as tasks such as model calibration. Outside a […]

WILMOTT Magazine

Wilmott Magazine: March 2017 issue

12th April 2017 admin 0

Volume 2017, Issue 88. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. In this issue: Bibliography “Contents,” Wilmott, vol. 2017, iss. 88, pp. 1-1, […]

Articles

Product Risk Classification

9th April 2017 Editor 0

What is the PRC? The product risk classification (PRC) is a risk indicator that is based on quantitative models. It allows us to compare the financial risk of investment products of different kinds and asset […]

News

Julia Seminar for Quants in London

27th March 2017 Editor 0

Last week’s Julia in Finance seminar in partnership with the CQF Institute, held in London, was a great success.  More than 370 finance professionals registered online or attended in person. Along with customer and partner […]

Paul's Blog

Ed Thorp: A Man For All Markets

21st March 2017 Paul 0

The book we’ve been waiting for, the full story of Ed Thorp’s career in mathematics, science, gambling, and finance. An inspiration for us mortals. From Amazon: The incredible true story of the card-counting mathematics professor […]

News

Julia In Finance Seminar

5th March 2017 Editor 0

16 March, 6.00pm – 9.00pm GMT Fitch Learning, 55 Mark Lane, London, EC3R 7NE In partnership with Julia Computing, the CQF Institute invites you to attend this upcoming free seminar. Attend live in London or […]

Articles

Order Book Visualization

5th March 2017 Editor 0

Tsachi Galanos of Bookmap describes the firm’s novel solution to Limit Order Book Visualization and analysis Roughly two years ago, we shifted our company’s focus from proprietary trading activity, dealing mainly with HFT algorithms, to […]

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