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Introduction to QuantLib Development with Luigi Ballabio - London, November 14 - 16th, 2016 - http://bit.ly/QuantLib-2016

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The Reformed Broker wrote a new blog post titled Hot Links: Waves of Money
What I'm reading this morning ...
an hour ago
The Bank for International Settlements wrote a new blog post titled 27Sep/Financial inclusion: guidance on the regulation and supervision of institutions published by the Basel Committee
The Guidance published today identifies 19 of the total 29 Basel Core Principles where additional guidance is needed in the application of the Core Principles to the supervision of financial institutions engaged in serving the financially unserved and underserved. The Guidance also specifies the "Essential Criteria" and ...
4 hours ago
Implementing QuantLib wrote a new blog post titled QuantLib and SWIG
Hello everybody. This post has been on my to-do list for a while. It’s going to describe the tricks we use in our SWIG interfaces to export QuantLib to a handful of languages (for example, you might know that I’m fond of using it from Python).
8 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options. (arXiv:1609.07558v1 [q-fin.PR])
The discrete sum of geometric Brownian motions plays an important role in modeling stochastic annuities in insurance. It also plays a pivotal role in the pricing of Asian options in mathematical finance. In this paper, we study the probability distributions of the infinite sum of geometric Brownian motions, the sum of geometric Brownian motions with geometric stopping time, and the finite sum of the geometric Brownian motions. These results are extended to the discrete sum of the exponential L\'evy process. We derive tail asymptotics and compute numerically the asymptotic distribution...
13 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Short Maturity Asian Options in Local Volatility Models. (arXiv:1609.07559v1 [q-fin.PR])
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows a local volatility model. The asymptotics for out-of-the-money, in-the-money, and at-the-money cases are derived, considering both fixed strike and floating strike Asian options. The asymptotics for the out-of-the-money case involves a non-trivial variational problem which is solved completely. We present an analytical approximation for Asian options prices, and demonstrate good numerical agreement of the asymptotic results...
13 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Risk-Consistent Conditional Systemic Risk Measures. (arXiv:1609.07897v1 [q-fin.RM])
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional aggregation and a univariate conditional risk measure. Our studies extend known results for unconditional risk measures on finite state spaces. We argue in favor of a conditional framework on general probability spaces for assessing systemic risk. Mathematically, the problem reduces to selecting a realization of a random field with suitable properties. Moreover, our...
13 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Strongly Consistent Multivariate Conditional Risk Measures. (arXiv:1609.07903v1 [q-fin.MF])
We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional aggregation function and a univariate conditional risk measure as introduced Hoffmann et al. (2016). Further, in analogy to the univariate case in F\"ollmer (2014), we prove that under law-invariance strong consistency implies that multivariate conditional risk measures are necessarily multivariate conditional certainty equivalents.
13 hours ago
The Reformed Broker wrote a new blog post titled Hot Links: Deplorable Investments
What I'm reading this morning ...
yesterday