Risky Horror Show

Our Model&Method Risk seminar will be presented at Wilmott Finance Focus:

Thursday, 8th October 2009
Commencing at 6.30pm
Venue: 7city Learning, 4 Chiswell Street, 3rd floor, London

Speaker: Andreas Binder, head of the UnRisk maker Mathconsult

Computational Finance is, in our understanding, the art of modelling financial processes and then to somehow calculate fair values of financial instruments.
There are intrinsically several traps which one should avoid:
Different models for the underlying lead to different prices of derivatives. When models get too complicated, there is the danger of spurious accuracy, which may lead to a loss of criticism.
Numerical methods for the valuation have to be chosen in such a way that they can handle the problem under consideration reasonably fast, stable and robust, ideally also for the Greeks.
In the calibration of models, there is the danger of local minima or of instabilitites when many parameters have to be identified.
We will give examples of risky horrors during the presentation.

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