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Monday, 27 April 2009 |
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...Markets do not function in laboratory-like isolation. They are linked, correlated. It isn’t enough for any quant to try and know the probability of each individual company in his bank’s portfolio going bust; he has to know how the bankruptcy of one company – or several – might increase (or decrease) the likelihood that other companies will default. Suppose, for example, that a bank loans money to two outfits – a dairy farm and a dairy. The farm, according to ratings agencies, has a 10 per cent chance of going bust and the dairy a 5 per cent chance. But if the farm does go under, the chances that the dairy will follow will rise above 5 per cent – quickly and steeply – if the farm was its main milk supplier. And it gets more complicated from there. How correlated are the default probabilities on bonds issued by our Irish dairy farm and those issued by a software company in Malaysia? Not at all, you might think: the businesses not only provide totally different products and services, they’re also geographically remote from each other. Suppose, though, that both companies have been lent money by the same troubled bank that is now calling in its loans... Sam Jones writes in depth at the Financial Times on correlation, copulas and the influence of David Li - a subject which was also covered extensively in a wired article: 'The Formula that Killed Wall Street'. [Externalrss-FinanceFocus-titles-rssl-6-30] [Externalrss-Wilmott1-titles-rssr-6-30] [RandomProduct-174] |
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Monday, 27 April 2009 |
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moneyscience: A survey of workers in London has found that 37% would steal company information if the price was right. http://is.gd/uOQf |
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Saturday, 25 April 2009 |
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moneyscience: The UK's 1,000 richest people have seen their fortunes shrink by £155bn - ahttp://news.bbc.co.uk/1/hi/business/8018693.stm |
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Friday, 24 April 2009 |
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cheatsheet.mathfinance.com Mathfinance Homepage - All you need to know as a quant to pass exams and interview questions - Every day easy to carry-on reference manual - Decades of practical knowledge condensed on 6 pages - A4 size when folded - Punched so you can file it - Laminated so it will survive a spill of your drink "Very nice! I now know where to look and point to support a claim that this or that is 'well-known'. The cheat sheet may equally well be seen as charity towards the quantitative finance community." - Rolf Poulsen, Professor at the Department of Mathematical Sciences, University of Copenhagen "Finally, mathfinance.com has posted the cheat sheet that quants used to bring down the world's economy. This is an indispensable tool for all those who would wish to ban objective models and replace them with subjective judgments as to the profitabililty of their trades." - Peter Carr, Bloomberg Further Information Contents - Black-Scholes Formula with all Greeks - Normal Distribution - Building Blocks for First Generation Exotics - Binomial Trees - Vanilla Relationships - List of Distributions: densities, moments, moment generating functions - Brownian Motion and Running Extrema - At-The-Money (ATM) and Delta Conventions in FX - Simulation Schemes - Cholesky Decomposition - Newton's Method - Central Limit Theorem - Stochastic Calculus - Asset Pricing - Interest Rate Models - Libor Market Model - Transforms - Quanto Drift Adjustment - Currency Tetrahedron - Derivatives Payoffs - Vanilla Structures - Local Volatility - Option Formulas - Portfolio Optimization - Random Number Generation - Volatility Estimation - Regression - Kernel Density Estimation - CPPI - Market Models - Conditional Expectation - Cliquet Structures - Variance Reduction - Levy Processes - Copulas - Useful Reference [RandomProduct-174] [Externalrss-FinanceFocus-titles-rssl-6-30][Externalrss-quantevents-titles-rssr-6-30] |
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Friday, 24 April 2009 |
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Further Information:
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+44 (0) 117 923 8851 REQUEST A BROCHURE June Advanced C++ for Computational Finance with Daniel Duffy 15-17 June, 2009 - 1 Liverpool Street, London, UK The goal of this three-day intensive hands-on course is to learn those advanced features in C++ that are of direct relevance to writing and extending applications for quantitative and computational finance. The course uses the object-oriented and generic (templates) programming models (OOP, GP) in combination with design patterns and the STL and boost libraries to allow you to create robust and flexible applications. We develop the contents of the course by discussing important C++ language features, using OOP and GP models to write clean and effective code. We also discuss how to improve the performance of your application. In all cases, the examples and test cases are based on finance experience. Capital Structure Trading with Jon Gregory 15-16 June, 2009 - The Institute of Physics, London, UK A practical and intensive 2 day course with an internationally renowned expert covering the use of capital structure models for modelling balance sheet behaviour and their extension to default modelling and capital structure trading. Value-at-Risk with Jon Gregory 22-23 June, 2009 - The Institute of Physics, London, UK A practical and intensive course with a world renowned speaker covering the use of value-at-risk (VAR) methods for measuring financial risk and how the credit crisis will change risk management and VAR approaches in the future. July Patrick Burns on Statistical Programming in Finance with R 13-14 July 2009 - The Institute of Physics, London, UK The primary purpose of the course is to develop or increase skills in using R as a programming language. The exercises will be focused on statistical resampling methods and stochastic optimisation. Data examples will generally be from finance. Credit Default Swaps and the Credit Crisis with Jon Gregory 13-14 July 2009 - The Institute of Physics, London, UK A practical and intensive course with an internationally renowed speaker covering the applications, trading and valuation of credit default swaps and related credit derivative instruments. Pricing Counterparty Credit Risk in the Credit Crisis with Jon Gregory 27-28 July 2009 - The Institute of Physics, London, UK A practical and intensive 2 day course with an internationally renowned expert covering counterparty credit risk and its role in the credit crisis and focussing on related aspects such as collateral management. September Options and Structured Products with Jon Gregory 3-4 September 2009 - The Institute of Physics, London, UK A practical and intensive course covering exotic options and structured products and the financial engineering behind their uses, valuation and trading. Pricing Credit Derivatives and the Credit Crisis with Jon Gregory 7-8 September 2009 - The Institute of Physics, London, UK A practical and intensive course led by world-renowned expert, explaining the theory and practice behind credit derivative pricing models with special emphasis on CDO pricing in light of the credit crisis. November The Heston Stochastic Volatility Model - Pricing, Calibration and Monte Carlo Simulation with Wim Schoutens 9-10 November 2009 - The Institute of Physics, London, UK This course introduces and applies the advanced stochastic volatility model of Heston with a focus on the pricing of equity derivatives. The objective of this workshop is to develop a solid understanding of the model and to give participants the mathematical and practical background necessary to apply the model in practice. The course includes workshop in which the delegates will implement the pricing, the calibration and the Monte-Carlo simulation in Matlab. 2010 Pricing Exotic Interest Rate Derivatives - The LIBOR Market Model in QuantLib with Mark Joshi June 2-4, 2010 - The Institute of Physics, London, UK This three-day course will be led by an international expert who played a large role in the coding of the LIBOR market model in the QuantLib C++ open-source project. He will examine the practical problems that arise when implementing the LIBOR market model to price exotic interest rate derivatives. Each issue will be discussed at theoretical, practical and coding levels. The solution of these using QuantLib classes will be the focus of the course. LOOK OUT FOR NEW EVENT ANNOUNCEMENTS IN THE NEAR FUTURE |
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Friday, 24 April 2009 |
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The workings of the mind can explain the swing in sentiment from fear to optimism rather better than market fundamentals, according to scientific research. ...In a recent study funded by Wellcome Trust, researchers found that when individuals are gambling, the loss of money - and the prospect of losing more - activates a section of the brain which responds to fear and pain. The researchers monitored 24 individuals as they played and gambled for money, using a scanner to look for changes in brain activity. They found their subjects quickly predicted when there was a chance of winning or losing money. And when predictions of financial loss took place, they promptly stimulated the part of the brain - the amygdala - which reacts instinctively to threats... Mike Foster writes for Wealth-bulletin.com. [Externalrss-neuro-titles-rssl-8-30] [Externalrss-FinanceFocus-titles-rssr-6-30] [RandomProduct-213] |
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Friday, 24 April 2009 |
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BusinessSchools: News emerges of an anonymous philanthropist donating nearly $45 million to at least 8 universities across the US. http://tinyurl.com/czrutv |
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Friday, 24 April 2009 |
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Hedge fund assets could rise to $2.6 trillion by 2013 after bottoming out at roughly $1 trillion in 2009. Capital appreciation and $800 billion in net inflows over the next four years will push global levels to nearly triple the 2009 figure, according to a study of institutional investors, investment consultants and hedge funds. The report by Bank of New York Mellon and Casey, Quirk & Associates, forecasts pensions will be the greatest source of net flows between 2010-13 with net flows after 2010 to be strongest from high net worth individuals. Pensions are forecast to put $252 billion into hedge funds with family offices at $95 billion and wealth advisors at $58 billion, said the report... More from Hedge Funds Review. [Externalrss-hfweblog-titles-rssleft-6-30][Externalrss-fintag-titles-rssrightw1-6-30][Externalrss-HedgeFundNews-titles-rssrightw1-6-30] Subscribe in a reader Subscribe by Email Hedge Fund Resources Service Providers Tutorials Communities Blogs Papers & Research Introductions & Guides Papers & Research People & Profiles Research Centres Hedge Fund Books: UK Hedge Fund Books: US |
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Friday, 24 April 2009 |
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BusinessSchools: Cass Business School's Professor Steven Haberman to advise on Longevity Science Advisory Panel http://tinyurl.com/df8lyp |
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Thursday, 23 April 2009 |
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Wiley Finance Books Wiley is a global publisher of print and electronic products, specializing in professional books, alongside scientific, medical, and technical books, and consumer books and subscription services; and textbooks and other educational materials for undergraduate and graduate students as well as lifelong learners. Read More [RandomProduct-213] |
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Wednesday, 22 April 2009 |
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You'd think that one of the fundamental principles of managing money wisely would be to not pay a lot for things you could get cheaper elsewhere. But, according to Worth, you'd be wrong. The personal-finance magazine is raising its newsstand cover price in May to $20. That is, unless you're on Worth's special list of 110,000 extremely wealthy people, in which case you get the magazine for free... ...It seems counterintuitive to suddenly, during a recession, charge a premium for a magazine that others get for nothing - without putting, say, a Treasury bill in each newsstand copy. Not to mention pulling such a move while competing with all the financial advice that's sitting there gratis on the Internet. But the publishers don't see it that way. "Our audience is of very high-net-worth individuals," says Worth publisher Patrick Williams. "Not someone like me who's worried about their 401(k)."... Belinda Luscombe writes for Time Magazine. [Externalrss-bookreviews-titles-rssl-6-30] [Externalrss-FinanceFocus-titles-rssr-6-30] [RandomProduct-126] |
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