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The Alternating Direction Explicit (ADE) Method for One-Factor Problems: Wilmott Magazine Article
Guillaume Pealat and Daniel J. Duffy 600 Views

In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black-Scholes, local volatility, uncertain volatility).
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.

The Market Price of Interest-rate Risk: Measuring and Modelling Fear and Greed in the Fixed-income Markets: Wilmott Magazine Article
Riaz Ahmad & Paul Wilmott 3145 Views

In this paper we examine the statistical properties of the spot interest rate and the yield curve, using US data, to identify the behaviour of the market price of interest rate risk. This is then also examined statistically so that a two-factor interest rate model is developed.

5th Annual RiskMinds Americas - June 16 - 20, 2014 - Miami - 10% Wilmott Discount
5th Annual
RiskMinds Americas
June 16 - 20, 2014
JW Marriott Marquis, Miami

10% Wilmott Discount - VIP code FKN2385WLW

RiskMinds Americas is your chance to share ideas, stories, best practice and learn from the experience of over 250 senior risk management professionals from across the Americas and beyond. All aspects of financial risk will be explored, including credit, market, op, liquidity, model, investment, stress testing, capital management, regulation and more, plus special guest speakers from outside the world of finance to give you fresh perspectives on risk.

Hosting more international CROs, regulators and top level practitioners than any other risk management event in the Americas, RiskMinds Americas has proved itself as the region's top risk management conference. This year's line-up includes a cyber security expert, the CFO of a major bank, senior regulators, a board member, world-renowned academics plus senior risk managers from a wide range of firms including banks, investment managers, insurers, GSEs, private equity firms and pension funds. Already confirmed on the line-up are:

Tim P. Clark, Senior Associate Director, Division Of Banking Supervision & Regulation, FEDERAL RESERVE BOARD
Juan Yanes, US Chief Risk Officer, SANTANDER
Carlo di Florio, Chief Risk Officer & Head Of Strategy, FINRA
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS
Major General Jonathan Shaw CB CBE, Former Assistant Chief Of Defence Staff, UK MOD
Thomas Flynn, Chief Financial Officer, BMO FINANCIAL GROUP
Ken Phelan, Chief Risk Officer, RBS AMERICAS
Evan Picoult, Managing Director, Risk Architecture, CITI
Paige Wisdom, Chief Enterprise Risk Officer, FREDDIE MAC
Ed Altman, Max L. Heine Professor Of Finance, STERN SCHOOL OF BUSINESS, NYU
Geoffrey Craddock, Executive Vice President, Chief Risk Officer, OPPENHEIMER FUNDS
Eduardo Canabarro, Managing Director, Head Of Credit & Market Quantitative Risk, MORGAN STANLEY
Tim Harford, Behavioural Economist, Author & Financial Times Journalist

Visit the website for more details:

Don't miss details of the Global Risk Regulation Summit on June 16 or the Practical Workshops focusing on Fundamentals of Risk Management, Credit Risk and Stress Testing.

Make sure you reserve your place ASAP to make the most of the early-bird discounts PLUS claim a 10% discount with Wilmott ? quote the VIP code FKN2385WLW

For more details or to register call: +44 (0) 20 7017 7200, email: or visit the website:
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