Articles

Teraflops for Games and Derivatives Pricing

27th February 2019 Editor 0

Financial computing continuously demands higher computing performance, which can no longer be accomplished by simply increasing clock speed. Cluster and grid infrastructures grow, their cost of ownership explodes. Over the past twenty years, financial computing […]

Articles

Rootless Vol

24th December 2018 Editor 0

Even if you started out clueless about the volatility σ , given a good enough measuring stick and fast enough hands you ought to be able to measure it quickly and accurately. In practice you […]

Articles

Forecasting the Yield Curve with S-Plus

10th December 2018 Editor 0

Methods capable of forecasting the entire yield curve based on a time series extension of the Nelson-Siegel model Nelson and Siegel (1987) were suggested in the literature and compared to the non-parametric alternatives Diebold and […]

Articles

Amaranthus Extermino

26th November 2018 Editor 0

On September 19, 2006 the hedge fund Amaranth Advisors of Greenwich, Connecticut announced that it had lost $6 billion, about two thirds of the $9.25 billion fund in less than two weeks, largely because it […]

Articles

Building Your Wings on the Way Down

15th October 2018 Editor 0

Ray Bradbury famously defined “living at risk” as jumping off a cliff and building your wings on the way down. Too many financial risk managers who came late to the field think of risk as […]

Articles

Internal LGD Estimation in Practice

1st October 2018 Editor 0

Driven by a competitive market and motivated by the new Basel Capital Accord (Basel II), banks have put a lot of effort into development and improvement of their methods to assess the  creditworthiness of their […]

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