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Introduction to QuantLib Development - Intensive 3-day Training Course - September 10-12th, 2018 - Download Registration Form Here

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Complexity Digest wrote a new blog post titled Two postdoctoral positions in computational social science at the Network Science Institute
Two postdoctoral positions in computational social science are available at the Network Science Institute, to work with David Lazer and Christoph Riedl. Candidates will be expected to work on a combination of their own research and collaborative projects within the institute. Source: christophriedl.net
9 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Pricing American Options by Exercise Rate Optimization. (arXiv:1809.07300v1 [q-fin.CP])
We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and optimization of exercise strategies. Previous solutions to this problem either explicitly or implicitly determine so-called optimal \emph{exercise regions}, which consist of points in time and space at which the option is exercised. In contrast, our method determines \emph{exercise rates} of randomized exercise strategies. We show that the supremum of the corresponding stochastic optimization problem provides the correct option price. By integrating analytically over the random...
13 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Parameter Estimation of Heavy-Tailed AR Model with Missing Data via Stochastic EM. (arXiv:1809.07203v1 [stat.AP])
The autoregressive (AR) model is a widely used model to understand time series data. Traditionally, the innovation noise of the AR is modeled as Gaussian. However, many time series applications, for example, financial time series data are non-Gaussian, therefore, the AR model with more general heavy-tailed innovations are preferred. Another issue that frequently occurs in time series is missing values, due to the system data record failure or unexpected data loss. Although there are numerous works about Gaussian AR time series with missing values, as far as we know, there does not exist any...
13 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Enabling Scientific Crowds: The Theory of Enablers for Crowd-Based Scientific Investigation. (arXiv:1809.07195v1 [q-fin.CP])
Evidence shows that in a significant number of cases the current methods of research do not allow for reproducible and falsifiable procedures of scientific investigation. As a consequence, the majority of critical decisions at all levels, from personal investment choices to overreaching global policies, rely on some variation of try-and-error and are mostly non-scientific by definition. We lack transparency for procedures and evidence, proper explanation of market events, predictability on effects, or identification of causes. There is no clear demarcation of what is inherently scientific,...
13 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Complex market dynamics in the light of random matrix theory. (arXiv:1809.07100v1 [q-fin.CP])
We present a brief overview of random matrix theory (RMT) with the objectives of highlighting the computational results and applications in financial markets as complex systems. An oft-encountered problem in computational finance is the choice of an appropriate epoch over which the empirical cross-correlation return matrix is computed. A long epoch would smoothen the fluctuations in the return time series and suffers from non-stationarity, whereas a short epoch results in noisy fluctuations in the return time series and the correlation matrices turn out to be highly singular. An effective...
13 hours ago
Quantitative Finance at arXiv wrote a new blog post titled A revisit of the Borch rule for the Principal-Agent Risk-Sharing problem. (arXiv:1809.07040v1 [q-fin.RM])
In this paper we provide a new approach to tackle the Principal-Agent Risk-Sharing problem using optimal stochastic control technics. Our analysis relies on an optimal decomposition of the expected utility of the Principal in terms of the reservation utility of the Agent. In particular, this allows us to derive the Borch rule as a necessary optimality condition for this decomposition to hold, which sheds a new light on this economic concept. As a by-product, this approach provides a class of risk-sharing plans that satisfy the Borch rule; class to which the optimal plan belongs.
13 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Transport plans with domain constraints. (arXiv:1804.04283v2 [math.PR] UPDATED)
Let $\Omega$ be one of $\X^{N+1},C[0,1],D[0,1]$: product of Polish spaces, space of continuous functions from $[0,1]$ to $\mathbb{R}^d$, and space of RCLL (right-continuous with left limits) functions from $[0,1]$ to $\mathbb{R}^d$, respectively. We first consider the existence of a probability measure $P$ on $\Omega$ such that $P$ has the given marginals $\alpha$ and $\beta$ and its disintegration $P_x$ must be in some fixed $\Gamma(x) \subset \kP(\Omega)$, where $\kP(\Omega)$ is the set of probability measures on $\Omega$. The main application we have in mind is the martingale optimal...
13 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Weak Correlations of Stocks Future Returns. (arXiv:1806.05160v2 [q-fin.ST] UPDATED)
We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a profitable portfolio of assets which exhibits minor drawdowns and higher recoveries than both an equally weighted and an efficient frontier portfolio.
13 hours ago
Numerix LLC wrote a new blog post titled When Trying to Transform Your Organization, Are These Five Principles Getting Lost?
Title: When Trying to Transform Your Organization, Are These Five Principles Getting Lost? Publication Date & Time: Mon, 08/06/2018 - 10:00 The critical success factors that often go missing in the frenzy to ride the wave of technology innovation By Mark Ronan, Global Head of Program Management, Numerix With over two decades of experience as a technology professional working in the capital markets on both the buy-side and sell-side, I’ve been involved directly or indirectly in a number of large, transformational, change programs that resulted in varying degrees of success....
17 hours ago
Numerix LLC wrote a new blog post titled CEO Spotlight: Mazy Dar, OpenFin
Title: CEO Spotlight: Mazy Dar, OpenFinPublication Date & Time: Tue, 09/04/2018 - 10:00 In this CEO Spotlight, Numerix’s Jim Jockle sits down with OpenFin CEO, Mazy Dar, to discuss the rapid rise of OpenFin, the fintech revolution and where the industry is going next. Arriving at OpenFin Eight years ago, while most of the market had not yet emerged from the shadows of the financial crisis, one of today’s most innovative, and forward thinking fintech firms was conceived. Today, known as “The Operating System of Finance” – OpenFin has all but revolutionized the desktop experience...
17 hours ago
Numerix LLC wrote a new blog post titled Real Time Demands and other Forces Spark Growth of Electronification: Experts Say
Title: Real Time Demands and other Forces Spark Growth of Electronification: Experts SayPublication Date & Time: Tue, 09/04/2018 - 01:15Trading in the fixed income and OTC derivatives markets is going through profound change today and will likely continue to do so over the next years. The traditional voice-brokered trading model is slowly but surely being eroded and supplanted by electronic trading and real-time capabilities. This is due to what many may call a “natural evolution” of trading being driven by technological progress, regulatory rules and pressures, and the strive...
17 hours ago
Numerix LLC wrote a new blog post titled The Age of Fintech Disruption, Competition and Innovation in Capital Markets
Title: The Age of Fintech Disruption, Competition and Innovation in Capital MarketsPublication Date & Time: Tue, 04/03/2018 - 20:45From payments to cryptocurrencies to a greater cycle of competition and innovation, the growing interconnectedness between the capital markets and fintech is increasingly transforming—and disrupting—the financial world. At the same time, it is opening new opportunities and challenges for banks and asset managers. In this video, financial markets expert Kevin McPartland explains why as he examines three key activities taking place in the space: the...
17 hours ago
Numerix LLC wrote a new blog post titled New Forces Impacting E-Trading of OTC Derivatives
Title: New Forces Impacting E-Trading of OTC DerivativesPublication Date & Time: Thu, 04/19/2018 - 01:15When we look at the derivatives market today, we see several trends delivering impactful change. Two in particular—MiFID II and trading technology innovation—are propelling two main phenomena: an increasing placement of exotic derivatives onto electronic platforms and advancing competition from a new kind of entrant into the market. REQUEST THE WHITE PAPER:MiFID-II and Real-Time Technology Fortify Electronic Trading In this blog, Numerix Chief Marketing Officer James Jockle...
17 hours ago
Numerix LLC wrote a new blog post titled Blockchain in the Derivatives Market: Not to Be Dismissed
Title: Blockchain in the Derivatives Market: Not to Be DismissedPublication Date & Time: Wed, 05/30/2018 - 18:00By Bill Dwyer, Managing Director, Corporate and Business Development, Numerix $2 billion. In just four years, that is how much venture capital firms have invested into blockchain startups. During this period, blockchain, or more accurately distributed ledger technology (DLT), has become a rapidly trending topic among investors and institutions. DLT advocates, and there are many who have popped up, say the technology can reinvent, revolutionize and redefine businesses... 17 hours ago Numerix LLC wrote a new blog post titled Putting Quantitative Innovation into Focus for XVAs Title: Putting Quantitative Innovation into Focus for XVAsPublication Date & Time: Mon, 06/04/2018 - 18:00 By Dr. Andrew McClelland, Director of Quantitative Research, Numerix Managing xVAs is complex, and that complexity is growing as banks extend xVA to reflect new costs, such as those associated with posting initial margin, or to more-accurately reflect the costs of capital utilization. There is a raft of conceptual difficulties one must navigate when addressing xVAs, such as what should be captured in accounting statements and what should be charged on to clients, etc.... 17 hours ago Numerix LLC wrote a new blog post titled Steering the Initial Margin Process to Determine Full MVA Cost Title: Steering the Initial Margin Process to Determine Full MVA CostPublication Date & Time: Wed, 07/11/2018 - 10:00By Andrew McClelland, Ph.D., Director of Quantitative Research, Numerix In April 2018, ISDA published its latest Margin Survey, which indicated a significant increase in the amount of Initial Margin (IM) posted by the largest 20 derivatives market participants for their non-cleared derivatives trades. According to that survey, IM collected by these top 20 firms increased by 22% to$130.6 billion at the end of 2017, compared with $107.1 billion at the end of... 17 hours ago Numerix LLC wrote a new blog post titled Six Proven Steps to Effectively Communicate Change for Growth Title: Six Proven Steps to Effectively Communicate Change for GrowthPublication Date & Time: Wed, 07/18/2018 - 19:00Steven O’Hanlon, Numerix CEO “Taking a new step, uttering a new word, is what people fear most.” This quote by Fyodor Dostoyevsky, coming from his best-known masterpiece, Crime and Punishment, is easy to pick up and apply to people in the modern working world. We all know that many, if not most, people fear change in the workplace. Change can be (particularly if it is significant and sudden) very painful to the human mind. People generally feel very secure in the... 17 hours ago Numerix LLC wrote a new blog post titled Data, Product Innovation, and Trading Desk Skills: Where Are They All Going? Title: Data, Product Innovation, and Trading Desk Skills: Where Are They All Going?Publication Date & Time: Tue, 04/03/2018 - 15:00Data has always been a big part of the finance industry, but today Wall Street has access to more volumes of data than ever before, largely because of the onset of alternative intelligence, the cloud and big data. However, putting that information into action—such as turning it into valuable, predictive insights—is difficult. In this video blog, market structure and trading technology expert Kevin McPartland explains how one of the industry’s primary... 17 hours ago Musings on Markets wrote a new blog post titled Apple and Amazon at a Trillion$: Looking Back and Looking Forward!
For most of us, even envisioning a trillion dollars is difficult to do, a few more zeros than we are used to seeing in numbers. Thus, when Apple’s market capitalization exceeded a trillion on August 2, 2018, it was greeted with commentary, and when Amazon’s market capitalization also exceeded a trillion just over a month later on September 4, 2018, there was more of the same. I have not only admired both companies, but tracked and valued them repeatedly over the last twenty years. There is much...
20 hours ago
The Reformed Broker wrote a new blog post titled Catching Up
Some stuff you might have missed. ...
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