If UnRisk was a Restaurant

It was most probably the Maze in London. It is one of Gordon Ramsay's restaurants. As Gordon Ramsay, the Chef of Maze, Jason Atherton offers dishes as result of a, what I would call, mathematical cuisine. He demonstrates that simple cooking methods and reasoning (instead of unconstrained combinatorics) are often the best when creating best dishes. At Maze they offer a tasting menu with small dishes for a scalable meal of your own choice. The service is perfect. They are interested in what I want to eat and drink and not what they want me to eat and drink. They never give false comfort about their offerings.

How to Do but not Overdo it

Yesterday, our first compact seminar on Model&Methods Risk in Quantitative Finance. In our home town Linz. We invited core users from who we could expect unmistakable responses and assessments.

Andreas Binder (picture) and Michael Aichínger guided through the most beautiful but also dangerous fields of mathematical finance and pointed out where one can still make fundamental errors in concrete derivatives analytics examples.

Blame me? Blame you? Blame Math?

This morning in my email inbox: Amazon recommends Lecturing Birds Flying. Can Mathematical Theories Destroy the Financial Market?, Pablo Triana. I haven't read the book but it refers to N. Taleb's Fooled by Randomness and Black Swan, which I read. Book description: Leading and contrarian thinkers have been talking for years about the conflicts between theoretical and real finance. Nassim Taleb first addressed the issue in his technical treatise on options, Dynamic Hedging. Now, in Lecturing Birds on Flying, Pablo Triana moves the conversation to a narrative that anyone can follow.

In FbR Taleb seconds Unmberto Eco's  insight: It is not important what we know, it is much more important what we DON'T know?  

If UnRisk was a Sound System

It was most probably a GENEVA Lab Sound System made by a team that is passionate about design and engineering and "never will compromise on desig or technology".

The GenevaSound XL is a powerful complete stereo system, with built-in stereo tweeters, woofers and subwoofers, powered by a 600 Watt high fidelity digital amplifier. It delivers a sound performance normally expected from a very large and expensive stereo system.

If UnRisk was a Chair

It most probably was a "Fjord" from Moroso designed by Patricia Urquiola it is a multi-purpose armchair which fits perfectly into various interiors from the most modern to classic. 

"Its soft supporting and comfortable form adapt to the body, fitting around it, following its contours and anticipating ist movement. The light frame takes shape thanks to the use of new material and production techniques.  It is object of effective daily use and can be used in any public area"

If UnRisk was a Wine

It most probably was a Riesling, Erste Lage "Uhlen R - Roth Lay" from Heymann Loewenstein, Winningen, Mosel(-Saar-Ruwer).

I would rate the 2007 97/100 (Tanzer rated the 2005, 95+).

"This awesome Cuvee, the pinnacle of Loewenstein's dry wines is rich, opulent and fruity with notes of chocolate and coffee and spice, it is complex and multi-layered. And outstanding persistent"

The very steep riverbank vineyards overlook the Mosel river benefiting from a cool climate.

HL's winemaking is, after years of following rules and experimenting, an attempt to produce great art.

And it costs a tenth of a similarly rated Montrachet, or Hermitage blanc.

David and Goliath

In a market of Goliaths able to justify large spend on risk management how are the numerous small market participants, like capital management firms to meet regulatory pressure whilst staying cost effective. Their functional requirements are as demanding as those of a large bank. The difference, their business is more focused in terms of strategy, client segments and product volumes. Consequently, their number of different positions and cash flows is lower. That said, they need a feature-rich system for the small.

Fair price of a fair-price valuation system?

The UnRisk PRICING ENGINE, the ultra-fast pricing and calibration engine, addresses kind of financial products management, in any position of the sell-to-buy chain. Users have their term sheets replicated, apply the instantiated models, price the instruments and do what-if analysis. 

Co-evolution of customer needs and technology development

UnRisk PRICING ENGINE incorporates advanced numerical schemes (C++) integrated into a declarative programming layer (Mathematica). On this level it is an instrument builder and pricing engine in one, providing insight in the mathematical schemes and deal type constructors. 

Climb the Financial Mountain

Recently, Wilmott Magazin interviewed a few members of the quantitative finance community: "Should working ín finance equate with the responsibilities of public service?". My answer (compiled): No. Avoid any innovation-killer and think-stopper. Strong regulation of the core business leads to outsourcing of responsibility. But inter-business risk management and its related infrastructure, responsibility and funding shall become globalized.

Lift off. What the sky can promise

Sixty years ago, digital computers made information readable and models computational. Twenty years ago, the internet made information reachable. Ten years ago, Google built massive computational corpuses to search massive information.  Can it still our hunger for enormous computer performance? Valuating 1000 instruments across 1000 scenarios, 10 sec per valuation, took 10 million seconds, 120 days. If you needed the result in a minute a speed up of 150.000 was required.  You might get reasonable speed up by coarse grain parallelization on up to 1000 core processes. A speed-up of 150 is still required.

Model&Method Risk

As part of our know-how package  offer, we have set up a new compact seminar on Model&Methods risk. On demand (we go, where you want us to go). 2 hours. Free. 

For whom? Quants and risk professionals.

More is not always more

Since the beginning of the financial crisis markets have shifted to new regimes, characterized by almost unimaginable anomalies. It has exposed failures in risk management, but also familiar models and valuation techniques became unmasked as unreliable. 

Evolutionary approach: The UnRiskverse

At the beginning a short story of being lucky.

In the mid-90ies of the previous century time was ripe for developing PC- based software for quantitative finance, and, being lucky, we were asked to develop some convertible bond tools for a London based trading desk. From that point we strived for building a stable architecture for an evolutionary development approach.