A Short Story of Being Lucky ...

Last Monday, Andreas and myself had one of our little social meetings - sitting in a wine bar and smell the aroma of a nice Riesling or Chardonnay and we let serotonin spike a sense of well being .... in such an open atmosphere we have had the one or the other good idea.

On Monday we thought that valuable lessons can be learned from a trip down the memory lane.

1997 - Our engagement in finance started with a workshop for a London based trading desk of RBC. The problem: pricing of convertible bonds with quite complex contract features. At that workshop Andreas found that Adaptive Integration is the adequate method - and tree based methods are bad. This was the birth of a lumberjack.

Quantum Computer Taken to the Market

I found this Post in Mark Buchanan's Blog - it is really exciting.

I am not a quantum physicist and far from the knowledge to assess the enthusiasm, challenges, skeptics ... the questions address "muscles" in my brain that I do not use often. And so it is even difficult for me to understand the the whole variety of possible applications.

The IKEA Effect

We made a few fundamental decisions recently - packaging a system that is a solution and a development platform in one. This decision will influence our own development style and plans more than one might think. Even quicker and more flexible in development and even better results.

The Grace of Good Design

A well-designed building, well-enginnered car or a beautifully configured interior can stimulate the centers of our brains ...

I remember, about nine years ago, I  reviewed an international innovation project that dealt with design - the project leader, a design professor of the Politecnico di Milano, explained the objective: design light not lamps. 

The project was about principles and methodologies (a design driven tool box) to achieve this, but I was impressed about the clear goal.

In our business this means: design usages first, then objects, functions, data, ... And this is what we try.

Difficult enough, because in complex systems a bottom up approach is the only way to get the required flexibility ... But it is one of our explorative learning results: usage-driven design and design-driven systems pay back.

A Blog I Read ...

Eight to Late - the author, Kailash Awati, manages information system development at a pharmaceutical multinational ...

We Bundle - Undismayed by Psychological Risk Factors

According to the latest marketing research bundling can become bad for business. Customers may pay more for a single item than a combination with another - a bundle. It is in our heads. Psychologists call it categorial reasoning - the cheaper part of the bundle pushes its price down?

VaR Is Dead - Long Live VaR

The US Senate Permanent Subcommittee on Investigations released a comprehensive Report on JPMorgan Chase Whale Trade.

To read the whole report was not easy for me, being not a practitioner, and consequently I cannot seriously summarize - not about questionable trading practices.

Too Complex To Manage

There is some evidence that this is true for big banks - like here. Much has been written about too big to fail, even too big to jail, ...

Risk-Quant Sourcing - The New UnRisk FACTORY

About a week ago, I have presented our commitment delivering a combination of our flagship solution, UnRisk FACTORY, and development system, UnRisk-Q, in one here.

Now (after a quick decision), I am pleased to announce that we take a bundle of UnRisk FACTORY, its VaR Universe and UnRisk-Q to financial institutions for building and running advanced, individual risk management processes with extremely low effort (see our press info).

The FACTORY/VaR solution will be configured for a networked pool of core processes - starting with 40 computational kernels computing in parallel. The package supports 16 concurrent users.
UnRisk-Q for the development and runtime of individual add-ons starts with 8 computational kernels.

Core and user extension packages are available. For a web integration of the individually built add-on we offer webUnRisk.

The unprecedented attractive license package is comprehensive: yearly licenses including our premium service package with services, free updates and a free home use license UnRisk-Q.

The new package will BE the new UnRisk FACTORY.

Do Big Trends Matter?

Not so much for us.

Bill Gates: "when we did the microprocessor revolution, there was nobody old. It's weird how old this industry has become".
Me: "I entered into the IT business in the mid 70s - still in its stone age. I did not know many young people working in the field of computational mathematics - amazing, how young this segment has become, especially in mathematical finance".

Quant Sourcing - A New Category?

We have made UnRisk FACTORY 4 and UnRisk-Q 6. The UnRisk-Q kernel builds the pricing and calibration engine of the FACTORY products. It is intelligently manipulated by UnRisk services that control the work flow, manage the valuation and data management integration and organize the web access.

One To One

A marketing exercise falls essentially into two phases: a strategic phase identifying the opportunities and how they will be approached and an operational phase concerned with the tactical levels.