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Optimal Hedging Strategies With an Application to Hedge Fund Replication: Wilmott Magazine Article
Alexandre Hocquard, Nicolas Papageorgiou & Bruno Rémillard 92 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.

Volatility in Disguise: How to add pricing libraries for short rate models into a VaR system: Finance Focus
Andreas Binder 3224 Views

The speaker at the January 2005 Finance Focus (the free evening seminars for quants professionals, held by Wilmott and 7city) was Andreas Binder of MathConsult.
The presentation was held at the Financial World Bookshop on Bishopsgate and was titled "Volatility in Disguise: How to add pricing libraries for short rate models into a VaR system". 

This event was sponsored by
d-fine and UnRisk.

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