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MoneyScience's documents

Financial Training - ntroduction to QuantLib Development with Luigi Ballabio Brochure - October 2017

The goal of this three-day intensive hands-on course is to take a birds-eye look at the design of the QuantLib library as well as its rationale, to examine its implementation, and thus to learn how one's own code can be fitted on top of QuantLib to reuse and benefit from provided functionality. The course will focus on QuantLib proper, i.e., on the C++ library and won't cover extensions such as the Excel addin.

This is a practical course for financial market participants.

GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi

DOWNLOAD REGISTRATION FORM HERE.

A case study of how to obtain 140 times speed-ups over C++ code for your Monte Carlo pricing models using the open source project Kooderive and a Tesla K20 graphics card.

This is a practical course for Financial Market Participants.

GPUs promise much in terms of raw computing power. The challenge lies in how to harness that power for computing derivatives prices. In this intensive 3-day course, we teach how to use the Kooderive code to develop millions of Monte Carlo paths for realistic complex cases in seconds. In particular, we look at how to implement the LIBOR market model and least-squares regression in a flexible efficient manner. The course demonstrates optimal design choices and how to achieve maximum performance from the GPU, while describing how these choices are expressed in the Kooderive code. At the end of the course, delegates will be familiar with the workings of Kooderive and be in a position to adapt it to their own ends.

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Introduction to QuantLib Development with Luigi Ballabio - September - 22nd-24th 2014 - Brochure

The goal of this three-day intensive hands-on course is to take a bird-eye look at the design of the QuantLib library as well as its rationale, to examine its implementation, and thus to learn how one's own code can be fitted on top of QuantLib to reuse and benefit from provided functionality.  The course will focus on QuantLib proper, i.e., on the C++ library and won't cover extensions such as the Excel addin. 

This is an intensive practical course for financial market participants.

Introduction to QuantLib Development with Luigi Ballabio - September - 2-4 2013 - Brochure

The goal of this three-day intensive hands-on course is to take a bird-eye look at the design of the QuantLib library as well as its rationale, to examine its implementation, and thus to learn how one's own code can be fitted on top of QuantLib to reuse and benefit from provided functionality.  The course will focus on QuantLib proper, i.e., on the C++ library and won't cover extensions such as the Excel addin. 

This is a practical course for financial market participants.

Introduction to QuantLib Development with Luigi Ballabio - March 24 - 26th, 2014 - Brochure

The goal of this three-day intensive hands-on course is to take a bird-eye look at the design of the QuantLib library as well as its rationale, to examine its implementation, and thus to learn how one's own code can be fitted on top of QuantLib to reuse and benefit from provided functionality. The course will focus on QuantLib proper, i.e., on the C++ library and won't cover extensions such as the Excel addin.

This is a practical course for financial market participants.

Further Information

Introduction to QuantLib Development with Luigi Ballabio - March 24-26, 2014 - Brochure

Group Discounts Available The goal of this three-day intensive hands-on course is to take a bird-eye look at the design of the QuantLib library as well as its rationale, to examine its implementation, and thus to learn how one's own code can be fitted on top of QuantLib to reuse and benefit from provided functionality. The course will focus on QuantLib proper, i.e., on the C++ library and won't cover extensions such as the Excel addin. This is a practical course for financial market participants.

Citigroup Research Note - Is Libor Broken? (pdf, 2008)

Via: Alea

Scott Peng, Chintan (Monty) Gandhi, Alexander Tyo

Special Topic: Is LIBOR Broken?

Summary points

- The current liquidity crisis has created a situation where LIBOR at times no longer represents the level at which banks extend loans to others. We believe that LIBOR may understate actual interbank lending costs by 20–30bp and recommend implementing a long 10-yr swap spread trade to hedge against a potential jump in LIBOR.

Something is rotten in the state of [LIBOR]
- William Shakespeare (with us taking some liberty)

Summary - LIBOR May Be Understating Real Interbank Lending Cost

We believe that LIBOR may understate actual interbank lending costs by 20–30bp and recommend implementing a long 10-yr swap spread trade to hedge against a potential jump in LIBOR. The current liquidity crisis has created a situation where LIBOR at times no longer represents the level at which banks extend loans to others.

Discussion - LIBOR’s Importance Extends Far Beyond Banks

LIBOR is by far the most popular floating-rate index in the world. Its importance has evolved far beyond its humble roots as an interbank lending rate. LIBOR touches everyone from the largest international conglomerate to the smallest borrower in Peoria: It takes center stage in every interest rate swap (whether it is explicitly part of the cash flow or not) and the great majority of floating-rate securities and loans. As such, the functionality and relevance of LIBOR is of primary importance to the global financial system. We believe the current liquidity crisis has damaged the interbank market, resulting in LIBOR sets that at times deviate significantly from real interbank lending rates. We discuss four factors that support this conclusion.

The Price of Offshore Revisited: New estimates for missing global private wealth, income, inequality, and lost taxes

This study has received a lot of attention not least from the BBC and The Observer which was the first paper to report it. You can read also read the Press Release from The Tax Justice Network here (PDF)

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Introduction

The definition of victory for this paper is to review and improve upon existing estimates of the size, growth and distribution of untaxed private wealth protected and serviced by the global offshore industry. This is necessarily an exercise in night vision. The subterranean system that we are trying to measure is the economic equivalent of an astrophysical black hole. Like those black holes, this one is virtually invisible and can be somewhat perilous to observers who venture too close. So, like astronomers, researchers on this topic have necessarily used indirect methods to do their estimates, conducting their measurements from a respectful distance. This indirect approach is painstaking, and has many inherent limitations, as we'll see.

Unlike in the field of astrophysics, however, the invisibility here is fundamentally man-made. Private sector secrecy and the official government policies that protect it have placed most of the data that we need directly off limits ' even though it is, in principle, readily available. In many ways, the crucial policy question is ' what are the costs and benefits of all this secrecy?

Another key theme that emerges from this paper is that there is an urgent need for tax justice advocates and their allies in governments and in the public, especially in source countries where the wealth is coming from, to press the relevant authorities for this information.

The very existence of the global offshore industry, and the tax free status of the enormous sums invested by their wealthy clients, is predicated on secrecy: that is what this industry really 'supplies' as it competes for, conceals, and manages private capital from all over the planet, from any and all sources, no questions asked. We are up against one of society's most well entrenched interest groups. After all, there's no interest group more rich and powerful than the rich and powerful, who are the ultimate subjects of our research.

The first step, however, are the estimates. The way is hard, the work is tedious, the data mining is as mind numbing as any day below surface at the coal face, and the estimates are subject to maddening, irreducible uncertainties. Nevertheless, as usual, some things may be said.

New Estimates. As discussed below, previous estimates of the size and growth of the offshore industry to date have relied on rough judgments and rules of thumb or, at best, on one or two very simple estimation methods. We triangulated on our estimates from the vantage point of several different methods. The aim is not pseudo-precision, much less really big numbers, but to identify a plausible base case for this otherwise well hidden sector of the global economy.

A More Open Process. Another objective is to keep a sharp eye out for the puzzles surfaced by this data analysis, of which there are many. A key problem with previous estimates is sensationalism. That is to be expected, given the subject matter, and the fact that estimation is still dominated by relatively closed communities of consulting firms, government agencies, or NGOs.

An important aim of this project is to establish a more open, transparent, collaborative model for doing such research so that the data sources, estimation methods, and core assumptions are all exposed to the sunlight of peer review, and ultimately to public scrutiny.

Estimation Methods. As discussed below in more detail, this paper employs four key estimation approaches: (1) a 'sources and uses' model for country by country unrecorded capital flows; (2) an 'accumulated offshore wealth' model; (3) an 'offshore investor portfolio' model; and (4) direct estimates of offshore assets at the world's top 50 global private banks.