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Optimal Hedging Strategies With an Application to Hedge Fund Replication: Wilmott Magazine Article
Alexandre Hocquard, Nicolas Papageorgiou & Bruno Rémillard 83 Views

The derivation of the bivariate Payoff Distribution model by Kat and Palaro (2005) represents an interesting contribution to the performance evaluation and asset pricing literature. Nonetheless, their approach for evaluating the function is significantly flawed. Recently, Papageorgiou et al. (2007) have proposed a much more robust approach to modeling the marginal distributions and copula functions, and also extend the results of Schweizer (1995) to evaluate the model and derive an optimal dynamic trading (hedging) strategy. In this paper, we will discuss the technical challenges of implementing a multivariate extension of Dybvig (1988) model and discuss the possible solutions.


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.


CDOs in Chains: Wilmott Magazine Article
Johan de Kock, Holger Kraft & Mogens Steffensen 608 Views

This paper discusses the pricing of CDOs in a Markov chain framework. We show that in general the values of the legs satisfy systems of partial differential equations. In the special case of constant default intensities, one only needs to solve a system of ordinary differential equations, the so-called Kolmogorov differential equations.

Global Derivatives & Risk Management 2014 - 12 - 16 May, 2014. Hotel Okura, Amsterdam - 25% Discount
Global Derivatives & Risk Management 2014
12 - 16 May, 2014. Hotel Okura, Amsterdam

25% Discount for readers - VIP Code: FKN2383WILW

Global Derivatives brings together leading quants, traders, risk managers and academics from all over the world to discuss the key challenges affecting the derivatives market. Attending will enable you to:

    Hear technical details of the latest research being done by leading financial minds
    Learn cutting edge volatility, correlation, interest rate, FX, equities & credit modelling techniques
    Discover practical solutions to the challenges you face & learn how to implement them when you get back in the office
    Meet and learn from hundreds of senior derivatives professionals


Further information:

Telephone no.: +44 (0) 20 7017 7200
Email address: info@icbi.co.uk
Event URL: http://www.icbi-derivatives.com/FKN2383WILW
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