Another Pocketful Of Experiences

2010 was the year of getting back, but not on the old horse.

Looking back again might be a luxury, but valuable lessons can be learned from a short trip down the memory lane through a year that has been also our 10 years after .

UnRisk Gets Even Faster, Smarter, Better

thanks to the latest technologies including Mathematica 8 our platform that integrates all optimized engines in C++, services in Java, data base access and web services now even faster and more robust, Windows HPC Server 2008 utilized by our Grid-solutions for  massive portfolio-across-scenarios valuations, NVIDIA's CUDA GPU architecture codenamed "Fermi" making our pricing and calibration engines a magnitude faster, the integrated development environment Wolfram Workbench 2 , ...
together with a few clever algorithms and advanced numerical schemes, the orthogonal organization of deal types, models and methods, ...
Good to know.

Manipulate A Big FACTORY From Your iPad

Remember, Jet Lag May Cause Stupidity - no without irony, isn't it one of the great technological achievements that our software goes where we go?
When we designed our UnRisk FACTORY for risk analytics in real time we knew it requires 3 flexible building blocks

The Provenance Paradox

I read the HBR, Dec-10, article Why You Aren't Buying Venezuelan Chocolote. I like chocolate and  Venezuela has the best cacao beans and I thought, why do people limit their own guts, by thinking that only, say, Belgium or Switzerland can make top chocolate.

We Did Not Rest and We Will Not Rest

Valuable lessons can be learned from a trip down memory lane. In the late 1990ies were asked to develop some convertible bond pricing tools for a London-based trading desk. It turned out that the software they used was based on tree methods. As dividends mattered, trees did not recombine and, even worse, Greeks displayed oscillatory behavior.

If UnRisk was a Coffee

It most probably was a Carroux Coffee. I enjoy a few double-espresso cups a day ...

Ulrich Carroux founded his small coffee company in 1998, testing and roasting beans until he found the ideal mixture for the perfect espresso. His high-quality blend quickly gained a leading position in the market, whilst his small café soon counted restaurateurs and chefs among its customers ... Carroux Coffee steadily established itself as a supplier to top-quality restaurants. The six people in the Carroux Coffee team produce 30 tonnes of coffee a year ...

A comparatively small outfit, but very powerful. Applying hybrid technologies for top quality. Uncompromising testers.

Smart solutions have a magical attraction for me, says Carroux. Oh, yes.

Shhh ... UnRisk on nvidia Tesla Workstation from transtec

In search of perfect nvidia Tesla architecture integration we met transtec a company who transforms cutting edge HPC components into powerful and efficient solutions.

Jet Lag May Cause Stupidity

A  Wired Science Blog Post.  .... Jet lag decreases the numbers of new neurons being born in the hippocampus by about 50 percent, the team found ...
So, our UnRisk FACTORY, with its web front-end and server architecture, enabling number crunching in London, valuing in Singapore, backtesting in NY, contributes to the neuron production ..... ;).

It's Not Where You Take Things From - It's Where You Take Things To

said Jean-Luc Godard , the French-Swiss film director, once. I just found this quote by chance and it took me to add some words to my Bebop Finance post.

Bebop Finance?

I like music from all directions. Jazz begun with heracles-kind-of-musicians, like Buddy Bolden, who played music they heard "by ear". To Buddy it was important that his band was heard at the other side of the bay.

UnRisk - 10 Years After

The Austrian National Holiday was yesterday. This is an important anniversary for us. The launch of "UnRisk" before UnRisk. It was around the national holiday 2000, when we conducted a workshop for the design of the architecture around the bank-proof C++ library and outlined our technical framework and business strategy. 

This Is A Math's World!

Many economic experts have "seen" the crisis coming. Sometimes it looks to me, like a I-have-seen-it contagion. 

Emergency Landing,

When I read about this dramatic situation in Iris Mack's Blog, it immediately came in my mind, that it is often the details that we suppress and that so many things need to interplay correctly to make our convenient life also safe.

A Barcelona Cloud That Rains Insight

Solventis, Barcelona, Spain and UnRisk have entered into a development partnership to offering web-enabled valuation and risk-management solutions for Solventis' core market segments. 

The World's Lungs

"The Economist" , Sep, 25th, special report on The World's Lungs ... forests purveyors of water, consumers of carbon, treasure-house of species, the world's forest are ecological miracle, they must not be allowed to vanish

How Much Wood Would A Woodchuck Chuck If A Woodchuck Could Chuck Wood?

From "Strategic Humor" in HBR Sep-10 . We, lumberjacks, could if we should - To Tree Or Not To Tree ;)

This has a serious background, because we still find tree based methods even in newer quant finance presentations nad discussions. To make no mistake, tree-based methods are great for understanding, say, the option theory, but they are firewood if applied as solvers of complex financial PDEs. 

The Evermore Working and Frequently Updated FACTORY

A customer sent us this picture. With eyes twinkle, he asked us whether we will deny our already confirmed and scheduled update installation? And whether we have grown in the mean time and make business decisions on the street ;) ?

Do We All Need To Become Philosophers?

In my first short post about The Blank Swan , see The Market Of The Future, ... I mentioned that I find the thoughts behind this book present such a revolutionary way of treating derivatives pricing and technology that I placed it on the shelf with the books that influenced my thinking most.

Shanghai - the city that never sleeps

When I arrived in Shanghai, I thought "There is so much life in this city." People doing their businesses, thousands of busses at the EXPO parking area, a hotel dedicated to service their customers at the highest level, and Shawn Liu and his team having organised a perfect event for the following day.

Shanghai After Noon

Shawn Liu from China Quants (right picture) perfectly organized a program-rich UnRisk Shanghai 2010 Tour that brought us together with financial experts from the commercial sector to research institutes.

The Blank Swan Of Free Metal Forming

The Problem

Take the process of free metal forming: you need to understand the framework of the elastoplasticity theory and the complexity and limits of its mathematics derived from the mathematics of continuum mechanics. Deformation is decomposed (replicated?) into elastic and plastic parts and for simplicity decompositions shall determine stress and kinematical quantities.  However, resulting PDEs can be solved by finite element schemes. They "only" need to be calibrated related to the physical properties of the material that is dependent on recipes, and properties that are result of the process - like rolling and thermal treatment? And work as predictive models for shapes? If you buy a metal sheet you order it by standardized "names".  And this is where the headache begins

The Solution 

Standardized mass-steel allows ranges of physical properties of up to 15%. But each single sheet has its own metallurgical fingerprints. It is impossible, to measure the properties before bending, because you needed to destroy part of the sheet. So, you need to recalibrate your models during the forming process ("continuously"), say, by observing the force-at-angle  trajectory over thprocess (transformed from a value that itself is not only a geometrical calculation, but dependent on material). For explanation of the quantified elastoplastic behavior in this step. The closer you come to the final shape the more your system knows about the concrete material and the better it can explain ....

You could make continuous measurements of the shape? First, this has cost. Second, the material does not stay in the form you brought it by the machine, it uses its elasticity memory and reshapes.

As coal-faced mathematicians, we know, how to model, solve and recalibrate such processes - fast and accurate. With this respect metal forming dynamics is not so different from financial market dynamics. A concrete angle has been materialized from the many possible .... Sounds familiar?

Market Of The Future, Or Market With Future?

After having read many things about it, I read, The Blank Swan - The End Of Probability, Elie Ayache, author.
Yes, the thought behind the book is deeply challenging (Dan Tudball, Editor of Wilmott magazine). Ayache himself: I tend to only write the things that will be as difficult to read as they were to write. IMO, there is also an "economic aspect" of writing and reading and one might also think of the ink-factor one brings to reading. But this does not say anything about the quality which cannot be measured by operational semantics (like computational knowledge), only about my Blank Swans (as drawn in the picture here)

Alexander Dumas' Model

In the LikedIn Group Quant Finance we have a thread What do people think of new "Black Swan" funds and "Black Swan" hedging. With others, I share the view that buying insurance against a Black Swan event, illiquidity might become the Black Swan of a Black Swan event (nobody left to pay if it happens).

The Future That Never Happened

Cover story in Wired, Aug-10 .
We still don't have, Laser Guns, Food in a Pill, Robot Servants, Nano Technology, Fusion Power, Quantum Computing ... and Self-Driving Cars.

The Future Is Getting Old Like The Rest Of Us?

A film conceived in the format of a TV play, part of The Skills Exchange Project at the Serpentine Gallery in London.
I like this small gallery - see Design Real .
The title came into my mind, when I read about and in The Future Of Finance of the London School of Economics.

Shanghai Noon

In about a month UnRisk will visit Shanghai to highlighting the latest directions and technologies in Shanghai Seminars 2010 for financial institutions -  together with our partner China Quants .

1977, The TRS-80 Was Announced on 3-Aug

"Wired", This Day in Tech , Tandy Corp of Texas announced the manufacture of the first mass-product personal computer. 

The Botox Economy

Satyajit Das, a long-time author in Wilmott magazine found this brilliant metaphor in his article in the May-10 issue. 

Computer Says No

Article title in "The Economist", 24-Jul-10. About the requirement of big banks to reform their IT. Yes is is true our tools influence our thinking more than we want. Banks were the first to use mainframes and many are still thinking in applications of that time, operating lots of different data bases producing numbers.

My Begur Vacation Illustrated

I wrote about the contrast between the impressive Cuba-houses in the center and the (now empty) little-boxes-on-the-hillside-made-of -ticky-tacky ...  in Begur and Bubbles .

UnRisk 4.1 Rolls Out With Many New Deal Types

27-Jul-10 - we have released UnRisk PRICING ENGINE and UnRisk-Q version 4.1, introduced as UnRisk 4.1. This release is free for all UnRisk Premium Service users and will be shipped to all new customers immediately. UnRisk has been introduced 2001. Now, UnRisk 4.1 is the 17th release.

read more: Release Info

Begur and Bubbles

Back from Begur the village that has many important attractions from medieval remains to prestigious beaches. After two earlier weekend visits I could explore more in the 10 days.

The Computational UnRisksverse

I will take 10 days off and relax in Begur .  This little town is about 1 hour walking distance away from some nice small beaches .  I'll stay at Hotel Aiquaclara in a colonial-style building in the centre. That will keep me in motion.
But in principle, I will do quiet things. 

Shhh, Additional Know How Packages for Quant Developers ...

An internal decision of today:
We have synchronized UnRisk Product developments.  For enterprise-wide pricing strategies all products access the same pricing engines.

UnRisk Academy Module 2 at a Customer’s Site

On June 18, the first day of Module 2 of the UnRisk Academy (Case Studies) took place at a customer's site. This day was devoted to fixed-income instruments and the analysis of their market risk from the very vanilla type to moderately structured instruments with possible path-dependencies and/ or early exercise rights.

Cheat With Science

Wired magazine, Jun-10, Catch A Bouquet at a Wedding.
The humor of this small feature seems to get its essence from its serious core?
Basically this is the outfielder problem. Do skilled baseball players catch fly balls by creating a model of the ball's trajectory and heading to its predicted destination, or is it a kind of a feed-back process?

Less Is More

The Economist, 12 Jun-10, In praise of techno-austerity . The technology industry seems to be coming round to the idea that less is more.

Starling Flocks Are Flying Avalanches

A Wired blog post, 16-Jun-10 (the pictures are quite impressive, as well as the observations). To watch the uncanny synchronization of a starling flock in flight is to wonder if the birds aren’t actually a single entity, governed by something beyond the usual rules of biology. 

Traditional Theories - Analytics or Game Rules?

This question has been passionately discussed during the crisis.
In Wilmott magazine, Mar-10, our partner and friend Brian Sentance from Xenomorph conducted an article, Not Right but Good, speaking to Yuval Milo, a researcher in accountancy, about derivatives pricing, social sciences, and how the model became the market.

Walk Up or Drive Up?

I daily see the Pöstlingberg, one hour walking distance away from my flat. It is a hill that is one of the most important sights of Linz, a landmark. The panoramic view from the top encompasses the city, the winding River Danube, forested hills, farms, fields and distant villages to a horizon of misty blue mountains.

A New Bus for London

Recently the design of the New Bus for London was unveiled by Mayor of London. 

In Paris Do Like the World-Class Chefs Do.

3-Jun-10, 11:15 am, Andreas will give an invited talk at the Mathematica Conference in Paris. About Model and Method Risk. Especially how we use Mathematica to organize deal types, models and methods orthogonal.

Doping - Just Cheating?

Professional cycling has been rocked by scandals over the past years and recently the waves went even higher, when Floyd Landis, after 4 years fighting against his suspension, confessed his own doping and claimed that the practice is common and other riders and cycling officials are participating, including the cycling hero Lance Armstrong.


Some further thoughts on flexibility.
Let me start with Transformers , complicated mechanisms that can transform themselves into something completely different. 

Simplify First - Then Automate

ruled the days in the boom time of factory automation. In discrete manufacturing, simplification means, less parts in a configuration, of good nature for machining, handling, assembly and in-line quality assurance.

Want To Be Very Quick? Slow Down

I presented our hybrid UnRiskverse and our bootstrapping approach (develop UnRisk in partially UnRisk) to becoming very quick developers and customizers and let our quant users become quick developers. We use advanced development environments, like the Wolfram Workbench 2 and project management platforms (proprietary built around great open resources).

Babylonian Language Confusion or Optimized Multi-Paradigm Programming?

In quant finance forums, the questions on the right programming language pops up quite frequently. Like Why Do Quants Like C++ . In my contributions, I emphasize on analzse-requiremenst-and-choose-the-adaquete-programming-paradigm (not the other way arond). It is not always understood that one-size-fits-all does not fit for integrated industrial scale applications.

Blockbuster- or Incremental Innovation?

Again inspired by a HBR column (by Rosabeth Moss Kanter). Block buster products don't spring to work in the market place without incremental change.

Market Plunge - Human Error or Revolution of the Machines?

Market Plunge Baffles Wall Street . The stock market plunged Thursday in a harrowing five-minute selloff that appeared to be triggered by a breakdown of trading systems. After dropping nearly 1,000 points, the market rebounded but still closed down 3.2%, leaving Wall Street struggling to figure out what happened.

Some Questions Can Be Answered Before Asked

I am often asked questions like "How can I valuate a convertible bond in the Mathematica Front End?" or "How can I calibrate a LIBOR market model within Mathematica?" or .... After I have answered the question I also tell them to explore the usage of UnRisk in the Mathematica Front End at UnRisk Exploration. Following Documentation one can find the whole documentation of the UnRisk PRICING ENGINE - it's exactly the same documentation as our users find in the Mathematica Documentation Center.

Taming the Machine Infernal

we do implementations within the CUDA framework for many months now. In Nov-09 we installed a nvidia Tesla personal supercomputer in a server-rack with 2 Quadcore processors, 24 GB memory, triple channel architecture, with 2 Tesla C1060 and 1 GTX260 GPUs. A machine that let you "feel" the heat. A-wild-thing-that-makes-my-heart-sing.

Shhh...Testing In Progress

Sometimes, I cannot believe it myself. The next releases of our PRICING ENGINE and FACTORY are in the testing phase.

Imitation or Innovation?

Do creative copiers overshadow pioneers and innovators? Product life cycles need to become shorter and you cannot make groundbreaking innovations to gain a strategic edge just on demand.

Build An Enterprise Without Borders?

Recently when we intensified our partnership with China-Quants, I was rethinking our business models and strategies. 

Why Good Spreadsheets Make Bad Strategies?

A report in Harvard Business Review, Apr-10, relating to a provocative blog post by Roger Martin, dean of the Rotman School.
Manage through fear and intimidation, love, role modeling, ... or if you can't measure something, it might be the very most aspect of the problem?

UnRisk and China-Quants. 8 Good Reasons for a Spirited Partnership.

Shawn Liu (picture) head of China-Quants , Shanghai, UnRisk partner, and us met in our development center to formulate the strategic blueprint for marketing UnRisk technologies in China. In a 3 days workshop we thought like one company.

Custom-Fabricated Risk Analytics Factories?

Article in Wired Magazine Feb 2010 . In an age of open source, custom-fabricated and do-it-yourself product design all yo need - is a brilliant idea. Portals to the future of manufacturing are shown in examples like the power of micro-factories for developing a car - LocalMotors, Warham-Masschusetts, combining the power of crowdsourced design and professional experience to develop a power Rally Car. The manufacturing muscle came from a car company.

Bullet Trains and Intermodal Express Traveling

In Bullet Trains are Coming I have compared our fast solvers, combining advanced mathematical schemes and high-performance-computing technology, with the speed-trains.
Fast or super fast?

Bullet Trains are Coming

I read in Wired Feb-10 . After decades of false starts, planners are finally beginning to make headway on what could become the largest, most complicated infrastructure project ever attempted in the US. Technically, Speed-Trains are high-voltage rockets. Fast Train History leads to TGV with a speed record of 357 MPH.


Remember, what you see is what you get - wySiwyg? In short, users visualize what they are producing.

What you Need is what you get? Users declare what they are computing?


Our ear anatomy is minimalist in the following sense: less complexity and it could not transform sound-waves into enough information for our brain, more complexity and we would only recognize noise.
This kind of minimalism is also required in modeling financial instruments ( as outlined in When Good ENUF is Great ) to receive enough reliable information to supporting deal decisions.

Rumors Come To Light

"Apple tablet computers", rumors come to light in high frequency now. I will like them.

If UnRisk was a Glass

it was most probably a Zalto glass. From the first touch, each glass distinguishes from other glasses. Technical perfection is the basic principle. The glasses are not only about design. They are produced in the tradition of glassblowing of Venice, but without addition of lead oxide they are resistant against clouding. Despite its feather-light weight they maintain the best attributes of a modern glass: they may be washed in a dishwasher and are surprisingly break-proof.
I have most of them and I confirm.

Is A Pilsner Still A Pilsner?

Like many other breweries, Plensky Prazdroj is now brewing under the umbrella of a large international brewing empire. This post is not about beer. But about technology, market dynamics and dependences.

Me talking to Myself in the Future

this latest piece of the Canadian performance artist Marie Brassard inspired me to look playfully at the past from a future perspective.