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Multivariate Smiling: Wilmott Magazine Article
Peter Leoni & Wim Schoutens 465 Views

The paper presents an application of the Variance-Gamma distribution to price multivariate derivatives. The paper focuses on the practical implementation of the model in a multivariate setting. Several calibration procedures are discussed and applied to examples. In particular, we focus on the pricing differences for several exotic structures between the MultiVariate Variance-Gamma Model and the MultiVariate Black-Scholes Flat Volatility Model.
xVA - Coping with the Tsunami of Compute Load
Jorg Lotze and Hicham Lahlou


This article gives an overview of the different xVA adjustments, such as CVA, DVA, and FVA, shows how they are typically computed, and outlines where the computational complexities lie. We give recommendations on how to achieve high performance, portability, and scalability for centralised in-house xVA implementations. We show how, by careful software design, we can easily harness, not only the power of multi-core CPUs, but also accelerator co-processors such as graphic processing units (GPUs) and the Intel Xeon Phi.

A Markovian Model of Default Interactions: Comments and Extensions: Wilmott Magazine Article
Vladyslav Putyatin, David Prieul & Svetlana Maslova 1893 Views

This article analyses Davis and Lo (2001b) enhanced risk model, which is a dynamic version of the popular market model of infectious defaults of Davis and Lo (2001a). For all details regarding the enhanced risk model we refer the reader to the original article of Davis and Lo (2001b). In this article we review the main conclusions of the model and obtain a closedform solution that should be valuable in practice.

Cyber Threat & Operational Risk - 1 July 2014 | Central London - SAVE 15%
Cyber Threat & Operational Risk
1 July 2014 | Central London

*Visit the website for more information and to SAVE 15% on registration fees courtesy of Wilmott, quote VIP code FKM62837WML*

Enhancing cyber risk management frameworks:
  • Key characteristics & technical terminology
  • UK government's '10 steps to cyber security'
  • Monitoring key systems and networks
  • Network security and penetration testing

    Effectively monitoring the cyber threat environment:
  • Horizon scanning & internal defence monitoring
  • Learning from external events
  • IT and cyber risk indicators triggers and limits
  • Integrating IT and operational risk indicators

    Benefiting from value adding IT governance:
  • Incorporating IT within the Op Risk framework
  • Bringing business and IT managers together
  • Building the Information Security Policy
  • Third party management

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