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| Pricing Rainbow Options: Wilmott Magazine Article |
| Peter Ouwehand, Graeme West |
586 Views |
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A previous paper (West 2005) tackled the issue
of calculating accurate uni-, bi- and trivariate normal probabilities.
This has important applications in the pricing of multiasset options, e.g.
rainbow options. In this paper, we derive the Black—Scholes prices of
several styles of (multi-asset) rainbow options using change-of-numeraire
machinery. Hedging issues and deviations from the Black-Scholes pricing
model are also briefly considered.
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| 'Finance Focus' event: Time series databases for high-performance Quantitative Analysis |
| Organised by Wilmott magazine and 7city and sponsored by Sybase presented by Mike Servent |
3407 Views |
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In an age in which commercial quantitative tools are both powerful and affordable, quantitative analysis is often limited by data considerations. An increase in the ease and speed with which data can be incorporated can enhance productivity and lead to better research. In this presentation we review some typical quantitative data storage requirements, and some possible solutions. We illustrate an approach developed at OMAM which uses a novel relational database schema to provide outstanding performance. Mike Servent is Head of Quantitative & Modelling Systems at Old Mutual Asset Managers, UK. His team forms part of the Quantitative Strategies Group at OMAM which runs Global Equity Market-Neutral and Long-only funds with approx $ 2.5 billion AUM. The team provides quantitative platforms including statistical packages, optimisers, databases and reporting systems, as well as OMAM's proprietary quant models. Previously Mike has worked at MSCI Barra and at BITA Risk.
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| Wilmott and Taleb - Robust Risk Management - 1-2 March - London |
Wilmott-Taleb "Robust Risk Management" (RRM) course.
* 1-2 March 2012
* Central London
* Price £1999 plus VAT.
The URL for online payment is
http://www.wilmott.com/seminar_wilmotttaleb.cfm
Robust Risk Management With Wilmott And Taleb
AN EXCLUSIVE TWO-DAY WORKSHOP
PAUL WILMOTT & NASSIM NICHOLAS TALEB
1-2 March 2012, 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/seminar_wilmotttaleb.cfm
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| Event Driven Risk Arbitrage Trader / Portfolio Manager - London - GQR321 |
Event Driven Risk Arbitrage Trader / Portfolio Manager - London
We are working for a large, prestigious hedge fund as they look to add a risk arb trader in London. The fund is renowned for having cutting edge systems. The role will consist of managing large amounts of money in the risk / merger arb space looking at event driven strategies corporate actions, rights issues and dual-listings arbitrages as well as stub situations. Candidates should have a successful track record running these type of strategies on a large scale in the European market. The fund will consider candidates with hedge fund experience or those from prop desks at banks. The pay-out structure at the fund is very generous making this an attractive position sure to generate significant interest.
APPLY | quant-jobs@g-q-r.com |
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