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.
Do Quants Destroy?
Aaron Brown, wrote a review on Scott Patterson's book, The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It . Review in QuantNetwork .
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.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.