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Introduction to QuantLib training with Luigi Ballabio

19-21 October, London

Recent members

Complexity Digest wrote a new blog post titled Homo Socialis: An Analytical Core for Sociological Theory
We develop an analytical core for sociology. We follow standard dynamical systems theory by first specifying the conditions for social equilibrium, and then studying the dynamical principles that govern disequilibrium behavior. Our general social equilibrium model is an expansion of the general equilibrium model of economic theory, and our dynamical principles treat the society as a complex adaptive system that can be studied using evolutionary game theory and agent-based Markov models based on variants of the replicator dynamic.Homo Socialis: An Analytical Core for Sociological TheoryGintis,...
2 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Minimizing the Probability of Lifetime Drawdown under Constant Consumption. (arXiv:1507.08713v1 [q-fin.PM])
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Scholes model. Under a constant rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probability that her wealth drops below some fixed proportion of her maximum wealth to date, the so-called probability of {\it lifetime drawdown}. If maximum wealth is less than a particular value, $m^*$, then the individual optimally invests in such a way that maximum wealth never...
2 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Variable Annuity with GMWB: surrender or not, that is the question. (arXiv:1507.08738v1 [q-fin.PR])
Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control problem. The surrender feature available in marketed products allows termination of the contract before maturity, making it also an optimal stopping problem. Although the surrender feature is quite common in variable annuity contracts, there appears to be no published analysis and results for this feature in GMWB under optimal policyholder behaviour - results found in the literature so far are consistent with the absence...
2 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Interest-Rate Modeling in Collateralized Markets: Multiple curves and credit-liquidity effects. (arXiv:1507.08779v1 [q-fin.PR])
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized valuation measure, can be helpful in defining the key market rates underlying the multiple interest rate curves that characterize current interest rate markets. A key point is that spot Libor rates are to be treated as market primitives rather than being defined by no-arbitrage relationships. We formulate a consistent realistic dynamics for the different...
2 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Keeping up with the e-Joneses: Do online social networks raise social comparisons?. (arXiv:1507.08863v1 [cs.CY])
Online social networks such as Facebook disclose an unprecedented volume of personal information amplifying the occasions for social comparisons. We test the hypothesis that the use of social networking sites (SNS) increases people's dissatisfaction with their income. After addressing endogeneity issues, our results suggest that SNS users have a higher probability to compare their achievements with those of others. This effect seems stronger than the one exerted by TV watching, it is particularly strong for younger people, and it affects men and women in a similar way.
2 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Efficient and robust calibration of the Heston option pricing model for American options using an improved Cuckoo Search Algorithm. (arXiv:1507.08937v1 [cs.NE])
In this paper an improved Cuckoo Search Algorithm is developed to allow for an efficient and robust calibration of the Heston option pricing model for American options. Calibration of stochastic volatility models like the Heston is significantly harder than classical option pricing models as more parameters have to be estimated. The difficult task of calibrating one of these models to American Put options data is the main objective of this paper. Numerical results are shown to substantiate the suitability of the chosen method to tackle this problem.
2 hours ago
All About Alpha wrote a new blog post titled The Strength of Multi-Strat Is No Mystery
Credit Suisse Capital Services says that appetite has increased of late, among institutional investors, for multistrategy funds. Faille offers some thoughts as to why.
3 hours ago
Complexity Digest wrote a new blog post titled The curse of instability
Here, it is proposed that thinking on a different level is required to understand, what really triggers or removes this barrier. Just counting “dimensions” or “variables” is insufficient. The true intrinsic curse we are facing is the curse of instability. In fact, we argue below that instabilities (a) cause an increase in dimensionality, (b) substantially raise the analytical difficulty, and (c) are a strong indicator for multiscale dynamical complexity. Of course, it turns out that (a)–(c) are intimately related. Although we shall primarily illustrate the...
11 hours ago
The Reformed Broker wrote a new blog post titled Why the olds want to continue working
Is there a correlation between the rise of people working past retirement age and the paltry amount of income they’re able to earn on their lower-risk savings accounts? Probably. People over the age of 65 are a growing portion of the labor force participation rate and they’re increasingly unwilling (or unable) to stop working. This is,......
14 hours ago
The Aleph Blog wrote a new blog post titled Modeling Financial Liquidity and Solvency
Photo Credit: Jon GosToo often in debates regarding the recent financial crisis, the event was regarded as a surprise that no one could have anticipated, conveniently forgetting those who pointed out sloppy banking, lending and borrowing practices in advance of the crisis.  There is a need for a well-developed model of how a financial crisis works, so that the wrong cures are not applied to the financial system.All that said, any correct cure will bring about a predictable response from the banks and other lending institutions.  They will argue that borrower choice is reduced, and that the...
19 hours ago
Complexity Digest wrote a new blog post titled Defining chaos
In this paper, we propose, discuss, and illustrate a computationally feasible definition of chaos which can be applied very generally to situations that are commonly encountered, including attractors, repellers, and non-periodically forced systems. This definition is based on an entropy-like quantity, which we call “expansion entropy,” and we define chaos as occurring when this quantity is positive. We relate and compare expansion entropy to the well-known concept of topological entropy to which it is equivalent under appropriate conditions. We also present example illustrations,...
Patrick Burns wrote a new blog post titled US market portrait 2015 week 31
US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by Wikipedia on 2015 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however you like
2 days ago
The Reformed Broker wrote a new blog post titled This Week on TRB
The were the most read posts on the site this week, in case you missed it:...
2 days ago
The Aleph Blog wrote a new blog post titled Volume Is Usually Low At Turning Points
Photo Credit: GianniA few days ago, I was trying to buy a little bit of a defense company that I own for myself and clients.  It was relatively inexpensive, and had fallen out of favor.  Now, it’s not the most liquid beastie on the US market, so I put in an order to buy 2000 shares, while showing 100 shares, offering to buy at the current bid of $25.50 while allowing purchases at up to $25.57, while the ask was at $25.65.  I then shifted away from my trading application, and went to do other work.After an hour, I went back to my trading screen, and saw that 1200 shares had executed...
2 days ago
Complexity Digest wrote a new blog post titled The dynamic of information-driven coordination phenomena: a transfer entropy analysis
Data from social media are providing unprecedented opportunities to investigate the processes that rule the dynamics of collective social phenomena. Here, we consider an information theoretical approach to define and measure the temporal and structural signatures typical of collective social events as they arise and gain prominence. We use the symbolic transfer entropy analysis of micro-blogging time series to extract directed networks of influence among geolocalized sub-units in social systems. This methodology captures the emergence of system-level dynamics close to the onset of socially...
2 days ago
FINalternatives wrote a new blog post titled Founders of Carlyle's Vermillion Asset Management Depart After Losses, Redemptions
The founders of Carlyle’s Vermillion Asset Management hedge fund unit have left the firm amid steep losses and investor redemptions in its flagship commodities fund. read more
2 days ago
FINalternatives wrote a new blog post titled Activist ValueAct Capital Discloses 5.44% Stake in Rolls-Royce
U.S. activist investor ValueAct has taken a 5.44% stake in British engine maker Rolls-Royce to become the firm's biggest shareholder, raising further pressure on the embattled company. read more
2 days ago