Articles

Implied Probability of Bail-In

CoCo (Contingent Convertible) or AT1 (Additional Tier 1) Bonds have been receiving some attention recently due to a confluence of factors. In no particular order these include the fact that $40bn worth of contracts are […]

Articles

Big Time Series Analysis with JuliaDB

The next generation of data analysis requires the next generation of tools. The most popular opensource packages for data analysis (Python’s pandas and various R packages) are designed to work with small files of basic […]

Articles

Opscore Web Service

Two decades in the market have seen ITO33 firmly establish itself as the solution provider of choice for convertible bond specialists. This gold standard is delivered via Opscore, the firm’s front-office solution for pricing, hedging, […]

Articles

Automatic Differentiation for the Greeks

The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option position, as well as tasks such as model calibration. Outside a […]

Articles

Product Risk Classification

What is the PRC? The product risk classification (PRC) is a risk indicator that is based on quantitative models. It allows us to compare the financial risk of investment products of different kinds and asset […]

Julia

Julia Seminar for Quants in London

Last week’s Julia in Finance seminar in partnership with the CQF Institute, held in London, was a great success.  More than 370 finance professionals registered online or attended in person. Along with customer and partner […]

Julia

Julia In Finance Seminar

16 March, 6.00pm – 9.00pm GMT Fitch Learning, 55 Mark Lane, London, EC3R 7NE In partnership with Julia Computing, the CQF Institute invites you to attend this upcoming free seminar. Attend live in London or […]

Julia

Julia Enters Top 50 Programming Languages

  Julia, a numerical computing language, took its place among the top 50 computer programming languages in September 2016, according to the TIOBE Programming Community Index, an index of the world’s most popular programming languages: […]