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UnRisk: Finance@Court
Andreas Binder

Municipalities would do well to analyze payoffs and the risk of swaps before taking a leap with taxpayers' money...

Low Strike Extrapolation for SABR - d-fine
Sebastian Schlenkrich, André Miemiec, Tilman Wolff-Siemssen, d-fine GmbH, Frankfurt, Germany

In this paper we analyse the modelling of rate options in a low interest rate market environment. In particular, the pricing of low, zero and negative strike vanilla options is considered. We review the modelling approaches available in the literature. For the important special case of the widely used SABR formula we illustrate the shortcomings connected with the low strike wing of the smile.

Moreover, a simple approach of low strike extrapolation will be presented. It is based on gluing the density function implied by the standard SABR formula to a suitable density function at low strikes in an arbitrage free manner. This approach yields a robust and transparent method to price low, zero and negative strike vanilla options.

Fooled by Randomness lecture
Nassim Nicholas Taleb 11015 Views

On 28th June 2004 NNT gave a Finance Focus lecture on his book 'Fooled by Randomness.' This event was held at the Financial World Bookshop and sponsored by Wilmott magazine, d-fine and 7city. Nassim Taleb is an essayist principally concerned with the problems of uncertainty and knowledge. Taleb's interests lie at the intersection of philosophy, mathematics, finance, literature, and cognitive science but he has stayed extremely close to the ground thanks to an uninterrupted two-decade career as a mathematical trader. Specializing in the risks of unpredicted rare events ("black swans"), he held senior trading positions in New York and London before founding Empirica LLC, a trading firm and risk research laboratory. Taleb is a fellow at the Courant Institute of Mathematical Sciences of New York University where he has been teaching a class on the failure of models since 1999. His degrees include an MBA from the Wharton School and a Ph.D. from the University of Paris Dauphine. Fooled by Randomness has been published in 14 languages and the author's ideas on skeptical empiricism have been covered by hundreds of articles around the world. Since childhood, Taleb has been obsessed with the defects of his own thinking. In addition to his scientific and literary interests, Taleb enjoys cafe lounging and museum hopping.

RiskMinds Asia 2014 - 17-20 November, St Regis, Singapore - 15% Wilmott Discount
RiskMinds Asia 2014
17-20 November, St Regis, Singapore

New Strategic Insights & Practical Techniques In Risk Management
For Retail & Investment Banks, Insurance Companies & Asset Managers

quote VIP: FKN2398WILW on the website

Key topics include:

Strategic & Practical Challenges Of Implementing The New Banking Regulation
Shadow Banking
Basel III - A Roadmap For The Regions
The Trading Book Review
Creating A Robust Risk Culture & Appetite
A Strategic Role For Stress Testing
Connecting The Risk Engine Room To The Boardroom
The CFO Perspective On Risk
The Blossoming Relationship Between The CRO & The CIO
Emerging Risks
New Credit Risk Analytics
Liquidity Under Basel Including Net Stable Funding & Liquidity Coverage Ratios
Practical Implementation Of ERM And Harnessing It To Be Useful

50+ experienced speakers including:

Ronnie Tan, Group CRO, Great Eastern Life
Hein Jan Smit, CRO, Bank Islam Brunei Darussalam Berhad
Lukas van der Hoef, Country CRO (Singapore), ABN Amro
Yuji Nakata
, Deputy CRO, Nomura
Peter Deans, CRO, Bank of Queensland
So Lan Ip, CRO, Ping An Group
Anju Abrol, CRO (Asia), Westpac
Irma Savitry Daulay, Chief Credit Officer, Bank Danamon
Brian Lo, Group Risk, Head of Market & Liquidity Risk, DBS Bank
Javed Husain Siddiqi, CRO, Soneri Bank
Fan Gao, Head of Operational Risk for APAC, Citigroup
Pardi Sudrajat, Group Head of Market Risk, Portfolio & Operational Risk, Mandiri Securities
Tan You Leong, North Asia CRO, OCBC
Kenji Fujii, Group Head of Global Risk Management, Mizuho Securities
Giovanni Bussu, CRO Asia Pacific, Unicredit
Dinesh Talsania, Chief Manager - Risk Management, ICICI BANK
and many more, please see website for full speaker list and updated agenda

"RiskMinds Asia gathered the great minds, thoughts and ideas, which inspired participants with powers to go on with their odysess of 'Against the Gods' journey."
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Plus, spend more time with the experts and attend one of the full-day practical workshops (20 November) on Stress Testing, Technology Risk and Risk Appetite & Culture.

Find out more & claim your 15% discount today on:
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