Subscribe to Wilmott
Follow us on Twitter
join wilmott
audio visual
file share
jobs board
about us
UnRisk: Exposure Skewness
Andreas Binder & Michael Aichinger

Swap 4175 between the City of Linz and BAWAG P.S.K. Is currently the subject of a trial at Vienna's commercial court. This article examines how a single instrument CVA calculation for Swap 4175 could be carried out. In such a CVA calculation, market risk and counterparty risk are coupled.

CQF Turns Eleven
Wilmott Magazine

As the Certificate in Quantitative Finance marks its 11th year we take a look at the history of a program that has built a reputation on delivering far beyond expectations.

Equity-to-Credit: the Death of the Implied Volatility: Finance Focus - Apr 2004
Philippe Henrotte 7867 Views

The speaker at the April Finance Focus (the free evening seminars for quants professionals, held by Wilmott and 7city) was Philippe Henrotte from
ITO33. The presentation was held at the Financial World Bookshop on Bishopsgate and was titled "Equity-to-Credit: the Death of the Implied Volatility". 

This event was sponsored by

alphascope - 3-5 February 2015 - Geneva - 10% Wilmott Discount

3-5 February 2015, InterContinental, Geneva

10% Discount for Wilmott members - quote VIP code FKN2448WMW

alphascope is the event to discuss new quantitative investment management and asset allocation strategies for institutional investors, allocators, asset managers, traders & banks, catering for all levels of technicality.

Uniting the latest research and business best-practise in quantitative and systematic investment with engaged networking and mind-opening guest speakers, this is the only event of its kind to combine a scientific approach to research and innovation with engaged networking between end investors and investment managers.

Fantastic names already confirmed on the line-up!

Over 70 expert speakers have already been confirmed on the αlphascope agenda, including top investors and allocators from GROSVENOR ESTATE, AP3, PGGM, DEUTSCHE BANK, EIM, ABN AMRO PRIVATE BANK, NBAD, KI CAPITAL, ABERDEEN ASSET MANAGEMENTS and more. You?ll also have the chance to hear from exciting guest speakers including:

- Didier Sornette, Professor, ETH ZURICH
- Maneet Ahuja, Presenter, CNBC & Author of ?The Alpha Masters?
- Major General Jonathan Shaw CB CBE, Former Assistant Chief Of Defence Staff, UK MOD
- Dilip Madan, Professor Of Mathematical Finance, UNIVERSITY OF MARYLAND

The most comprehensive agenda of its kind!

Benefit from the latest quantitative research in investment and asset allocation methodologies. Topics on the αlphascope agenda include CTAs & Systematic Investment, Alternative Beta & Risk-Based Approaches, High Frequency Trading, Global Macro, Relative Value Investments, Long-Short Equity Strategies, Data Mining, Volatility Strategies, Innovations In Fixed Income and more!

Create connections with Engaged Conversations and networking!

'Engaged Conversations' is a programme of informal, peer-to-peer sessions planned to give you practical solutions, engaged involvement and an interactive experience. Don?t miss your chance to partake in:
Investor/Manager Speed Networking = business cards at the ready ? meet up to 12 contacts in 20 minutes

Portfolio Manager & Technology Showcases - present your investment or technology solution to our audience as well as a panel of judges

Too Hot To Touch - with a ban on reporting anything that is mentioned inside, these sessions enable a frank and honest discussion between attendees and speakers
Strategy-Themed Networking Roundtables - sign up on the day to sit at the table of your choice, giving you the opportunity to ask your questions and networking with a top speaker

One-To-One Meetings - if you have a specific group of clients who you want to reach out to at αlphascope, why not let us coordinate a series of meetings for you at the event. This service is aimed at asset managers, who can get more information from Rustum Bharucha at
Myαlphascope Networking Portal & App - view the delegate list, set up meetings and plan your agenda

Optional Ski Day - Once the hard work is done, come relax with αlphascope on the snowy peaks of the Alps. Cement connections formed during the event and relax into the weekend

Visit the αlphascope website now for details of the 2015 programme and speaker list to date:

For more information or to register please contact the ICBI team on +44 (0) 20 7017 7200, or visit the website here:

You can get a 10% discount with the VIP code FKN2448WMW
Latest Tweets
New & Improved Wilmott Jobs Board
Now Playing
Paul Wilmott: The Role of Mathematics in Finance
Finance Focus: Nick Higham
Latest Blogs
Now is the Perfect Time to Raise Interest Rates
13 01 15: 11:31 AM
Quiz 7 - The problem with "drift" (The 1st who gets it wins a copy of The Black Swan )
13 03 07:12:48 PM
Unified Book Launch Oslo
05 12 14:5:19 PM
Emanuel Derman
RSS Feed to Reuters Blog
01 07 11: 4:02 PM
Satyajit Das
The Truth of the Matter
04 11 13: 4:57 AM
deMorgans Law
22 07 09: 3:04 PM
Pablo Triana
Models On Models
21 05 11: 4:49 PM
Jan Dash
New paper "Market Crises, Earthquakes, and the Reggeon Field Theory"
11 06 13: 2:36 AM
Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM
Iris Mack
Robert Johnson at Davos: "Super Rich Prepping for Economic Collapse"
27 03 15: 8:13 PM
Summer time
27 06 14: 9:55 AM