30-May-11 - we have released UnRisk PRICING ENGINE and UnRisk-Q version 5, introduces as UnRisk 5. This release is free for all UnRisk Premium Service Customers and will be shipped to all new customers immediately. UnRisk has been introduced 2001. Now UnRisk 5 is the 18th release.
May 17, 1970 - The Boat Was Seaworthy
From Wired This Day In Tech: May 17, 1970 Thor Heyerdahl sets sail aboard Ra II to cross the Atlantic Ocean in a boat built of reeds and succeed where the previous expedition (aboard Ra I) failed.
(Heyerdal gained worldwide fame when he crossed the Pacific Ocean on Kon-Tiki - a boat constructed of woods).
One purpose of the Ra II voyage was to demonstrate the seaworthiness of buoyant reeds.
(Heyerdal gained worldwide fame when he crossed the Pacific Ocean on Kon-Tiki - a boat constructed of woods).
One purpose of the Ra II voyage was to demonstrate the seaworthiness of buoyant reeds.
Intra-Cloud Valuation Management
In the last weeks, I enjoyed exciting discussions with technology innovators from Wolfram, NVIDIA and Xenomorph. This motivated me to I repeated part of the me talking to myself in the future play. About cloud computing in quantitative finance.
Xenomorph and UnRisk - Valuation Acceleration And Management
For swifter time-to-insight the management of valuations of instruments in a multi-asset, multi-model, multi-datasource and multi-timeframe environment one needs systems that work in different climates.
Blazing Business - New Computing Muscles Changing Everything?
If you look into it with a bottom up view, today many instruments have intelligence inside and that is a big change.
In physics, new tools that are made available by computer power drive new ways of studying and interpreting behavior. Instead of individual specifics and dependencies, formulated in complex models, researchers begin to work with immense collections of data. And yes, if you have a system that let you, say, zoom in from a forest to the inside of a single cell of a chanterelle you will get new insight. Maybe, how the mycelium connects plants.
Katy Boerner calls such a system a macroscope a system that provides a vision of the whole.
Provocatively asking, does this only change the way of doing visual data analysis? No it is more general about visualizing the dynamic of knowledge. But what about the knowledge engines. Do they support the same platforms and tools?
Last Thursday and Friday we conducted a workshop with one of our customers on controlling risk from the valuation of single instruments to large portfolio level in time. Viewing the computational side of the financial processes uncertainty can evolve from the environment, the initial conditions and the intrinsic generators. Let me short call them technology risk that can be poor adequacy, accuracy, robustness but also timing.
If you have clever algorithms and powerful computing muscles you can do intrinsic method and model testing, automated precision control, data plausibility analysis, ....
Wanting to analyze portfolios across scenarios (VaR calculations, back testing, stress testing, ..) in time calls blazingly fast calculations with single valuation time in microseconds.
We at UnRisk are in such a Blazing Business.
The new hybrid CPU - GPU systems empower us to intelligently combine coarse grain and massive parallelism that multiply to speed-ups in the hundred thousands - providing our customers with a macroscope to monitor the dynamic of their blazing business.
For one aspect meet us at Accelerating Risk Analytics.
In physics, new tools that are made available by computer power drive new ways of studying and interpreting behavior. Instead of individual specifics and dependencies, formulated in complex models, researchers begin to work with immense collections of data. And yes, if you have a system that let you, say, zoom in from a forest to the inside of a single cell of a chanterelle you will get new insight. Maybe, how the mycelium connects plants.
Katy Boerner calls such a system a macroscope a system that provides a vision of the whole.
Provocatively asking, does this only change the way of doing visual data analysis? No it is more general about visualizing the dynamic of knowledge. But what about the knowledge engines. Do they support the same platforms and tools?
Last Thursday and Friday we conducted a workshop with one of our customers on controlling risk from the valuation of single instruments to large portfolio level in time. Viewing the computational side of the financial processes uncertainty can evolve from the environment, the initial conditions and the intrinsic generators. Let me short call them technology risk that can be poor adequacy, accuracy, robustness but also timing.
If you have clever algorithms and powerful computing muscles you can do intrinsic method and model testing, automated precision control, data plausibility analysis, ....
Wanting to analyze portfolios across scenarios (VaR calculations, back testing, stress testing, ..) in time calls blazingly fast calculations with single valuation time in microseconds.
We at UnRisk are in such a Blazing Business.
The new hybrid CPU - GPU systems empower us to intelligently combine coarse grain and massive parallelism that multiply to speed-ups in the hundred thousands - providing our customers with a macroscope to monitor the dynamic of their blazing business.
For one aspect meet us at Accelerating Risk Analytics.
Free Seminars - UnRisk + Mathematica + NVIDIA Accelerating Risk Analytics
Wolfram, NVIDIA and us will present New Technologies For Accelerating Quantitative Analytics in London, Paris, Zurich, Frankfurt.
We want to point out that there are reasons to introduce advanced computational systems to master the growing complexity of the modern quantitative finance. We will present new ways for valuing sophisticated deal types and manage risk in time.
And we want to point out that each single task in quantitative finance bears the danger of fundamental mistakes and timing problems, why those can become horrible in interplay and how to avoid them.
The events will cover:
- NVIDIA CUDA, Mathematica, UnRisk, technologies, coverage, products, solutions, software engineering aspects - why they fit so well together
- Optimal use of the technologies - how to eliminate the usual trade off of elegance, accuracy, speed and robustness
- Analyzing massive data – a suite of statistical and computational functions to avoid misinterpretation of data set
- Model types, parameter identification, numerical methods – can model risk be quantified? The fit is good, why is the price so bad?
- Pricing and risk analytics of complex options – Why it has intrinsic fragility, when advanced volatility models are used and how to avoid it
- Implementation – The latest advantages of implementations on NVIDIA Tesla computers in the UnRisk / Mathematica framework
Event benefits
- Exclusive insight – full explanations of the technologies, advantages, limits, traps and improvements
- Practical example – live
Who should attend?
Quants, front office practitioners, risk professionals, researchers, who need to accelerate their time-to-insight and new perspectives in massive data and quantitative analytics.
Shhh, .... UnRisk 5 is Coming
In about a month, we will take UnRisk-Q and UnRisk PRICING ENGINE version 5 to financial institutions.
It Is An Outstanding Product - Is The Pricing Right?
In the technical set-up, we have done our best efforts to select the best models, best solvers and best implementations.
Will There Be A Do It Yourself Revolution in Finance?
I have been working in factory automation for many years. We had quite original ideas, but the hidden forces that shaped our decisions were technologies and related cost. In the late 1970ies we had already CAD/CAM support and in the mid 1980ies multi-manufacturing and multi-axes CNC machines could produce quite complex finished parts in one set-up. We had robots and automated vehicles, .... All in large scale.
UnRisk VaR Universe Rolls Out
8-Apr-11, UnRisk took its comprehensive VaR module on top of UnRisk-Q to quant developers in financial institutions.
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