tag:blogger.com,1999:blog-341123222024-02-19T09:58:14.429+02:00InfoTech-LiveWeblog of Nick MedinNickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.comBlogger196125tag:blogger.com,1999:blog-34112322.post-47312346690193343932015-01-18T22:58:00.002+02:002015-01-18T22:58:52.862+02:00Bookshelf<div dir="ltr" style="text-align: left;" trbidi="on">
Returned from Waterstones bookstore on Trafalgar Square with a these Wilmott's books. No electronic copy can replace a "taste" of original old paper book!<br />
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Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-7112374928033739992014-12-31T20:01:00.006+02:002014-12-31T20:03:14.265+02:00Java World 2014<div dir="ltr" style="text-align: left;" trbidi="on">
<div dir="ltr" style="text-align: left;" trbidi="on">
Last time I worked with Java the most recent version was 1.4. Yes, it was quite a long time ago :) <br />
Today I have received a link from my colleague, whom we started working on a new java-based project with, advising me to read the following article this night - Happy New Year to you!<br />
<br />
I have read all the parts (<a href="http://blog.paralleluniverse.co/2014/05/01/modern-java/">Part 1</a>, <a href="http://blog.paralleluniverse.co/2014/05/08/modern-java-pt2/">Part 2</a> and <a href="http://blog.paralleluniverse.co/2014/05/15/modern-java-pt3/">Part 3</a>) and I should admit, it was worth reading!<br />
<br />
P.S. Happy New Year. I wish the coming year will be good and peaceful for ALL the people.<br />
Enjoy! <br />
<br /></div>
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/TzEwadgcZnQ" width="560"></iframe>
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Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-91869717972378747782014-11-15T17:04:00.001+02:002014-11-15T17:16:49.569+02:00Hypothetical Risk Valuation System<div dir="ltr" style="text-align: left;" trbidi="on">
IT systems of banks and investment funds are versatile. They have been grown for years and today financial institutions increasingly rely on the quality of their quantitative technology. Such a trend has made computational finance topmost important.<br />
<br />
Computational finance is a cross-disciplinary field that focuses on the financial services industry and relies on mathematical finance, numerical methods and computer simulations to make investment decisions and facilitates portfolio risk management.<br />
<br />
Despite the fact banks tend to develop risk valuation systems in-house all of them can generally fit into the given below schema.<br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgqxmf3hDsihR9h85iMQ-iYpISIoS6dYH-jMTIOH_WajErj-avtTkN2rY7Bn1rw1WD3BXgdgjdp3YZt_QhILbCtrSfsSEe4yAnVzEmPmdifVmKGU_As_92eJ36NRSRN3in1t67K/s1600/Hypothetical+Risk+Calculation+System.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgqxmf3hDsihR9h85iMQ-iYpISIoS6dYH-jMTIOH_WajErj-avtTkN2rY7Bn1rw1WD3BXgdgjdp3YZt_QhILbCtrSfsSEe4yAnVzEmPmdifVmKGU_As_92eJ36NRSRN3in1t67K/s1600/Hypothetical+Risk+Calculation+System.png" height="464" width="640" /></a></div>
<br />
<h3 style="text-align: left;">
How the system works</h3>
<a name='more'></a>The figure above shows how a generic risk valuation platform might support historical and real-time valuation scenarios.<br />
<br />
As the figure implies, there could be several inbound data streams but the most obvious ones are for trade and market data.<br />
<br />
The Data 'Time Machine' layer isolates the components of the platform from the data sources and provides a single and unified point of access.<br />
<br />
The scale of tasks solved by the risk platform is huge starting from risk measures estimates to cash flow generation and PnL forecasting. All these scenarios can be mathematically represented as a 'graph' with the following nodes:<br />
<br />
<ul style="text-align: left;">
<li>data injection</li>
<li>model building</li>
<li>simulation scenario generation</li>
<li>trade & risk valuation</li>
<li>result aggregation & transformation</li>
</ul>
<br />
Some of the tasks are computationally intensive. For this reason the system executes them in parallel usually on a GRID infrastructure.<br />
<br /></div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-17777287905249701132014-09-27T12:38:00.000+03:002014-09-27T12:38:56.121+03:00Credit Risk Modelling Slides<div dir="ltr" style="text-align: left;" trbidi="on">
A good overview of credit crisis of 2007-2009 and credit risk modelling of CDO's using copula correlation models.
<br />
<iframe allowfullscreen="" frameborder="0" height="355" marginheight="0" marginwidth="0" scrolling="no" src="//www.slideshare.net/slideshow/embed_code/3439929" style="border-width: 1px; border: 1px solid #CCC; margin-bottom: 5px; max-width: 100%;" width="425"> </iframe> <br />
<div style="margin-bottom: 5px;">
<strong> <a href="https://www.slideshare.net/robbintops/presentation2-bp" target="_blank" title="Copula approach to Default Correlation and the Credit Crisis of 2008/2009">Copula approach to Default Correlation and the Credit Crisis of 2008/2009</a> </strong> from <strong><a href="https://www.slideshare.net/robbintops" target="_blank">Robbin Tops</a></strong> </div>
</div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-83825379601571210312014-07-16T23:32:00.004+03:002014-07-16T23:32:41.023+03:00Bayessian Networks Overview<div dir="ltr" style="text-align: left;" trbidi="on">
Recently I decided to refresh my knowledge in machine learning. There are plenty of courses available. However I found that some rather simple topics are unnecessary overcomplicated! <br />
Hence I would like to share few links to useful resources:<br />
<br />
<ul style="text-align: left;">
<li>Bayesian Analysis <a href="http://habrahabr.ru/post/170545/">http://habrahabr.ru/post/170545/</a> and <a href="http://habrahabr.ru/post/170633/">http://habrahabr.ru/post/170633/</a></li>
<li>Naive Bayes Classifier <a href="http://habrahabr.ru/company/surfingbird/blog/150207/">http://habrahabr.ru/company/surfingbird/blog/150207/</a></li>
<li>Latent Dirichlet Allocation (LDA) <a href="http://habrahabr.ru/company/surfingbird/blog/150607/">http://habrahabr.ru/company/surfingbird/blog/150607/</a></li>
<li>Bayesian Networks <a href="http://habrahabr.ru/company/surfingbird/blog/176461/">http://habrahabr.ru/company/surfingbird/blog/176461/</a> and <a href="http://habrahabr.ru/company/surfingbird/blog/177889/">http://habrahabr.ru/company/surfingbird/blog/177889/</a></li>
<li>Video Lesson 2 <a href="http://shad.yandex.ru/lectures/machine_learning.xml">http://shad.yandex.ru/lectures/machine_learning.xml</a></li>
</ul>
<div>
Also Pattern Recognition and Machine Learning book by Chrisophe Bishop <b>(eng)</b> is available by <a href="http://www.hua.edu.vn/khoa/fita/wp-content/uploads/2013/08/Pattern-Recognition-and-Machine-Learning-Christophe-M-Bishop.pdf">http://www.hua.edu.vn/khoa/fita/wp-content/uploads/2013/08/Pattern-Recognition-and-Machine-Learning-Christophe-M-Bishop.pdf</a></div>
</div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-6582958450632109062014-07-02T08:30:00.000+03:002014-07-02T08:30:01.673+03:00Quant Bookshelf<div dir="ltr" style="text-align: left;" trbidi="on">
A good resource with a list of readings for those who are interested in better understanding quants to speak the same language at least! ;)<br />
<a href="http://www.quantstart.com/">http://www.quantstart.com/</a></div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-42300657935179141122014-07-01T22:55:00.001+03:002014-07-01T23:08:36.188+03:00Quantitative Finance Videos<div dir="ltr" style="text-align: left;" trbidi="on">
Nathan Whitehead made a list of videos related to quantitative finance. Most are based on the book "Paul Wilmott on Quantitative Finance, 2nd Edition". And some are from "The Concepts and Practice of Mathematical Finance" by Mark Joshi.
<br />
<iframe allowfullscreen="" frameborder="0" height="344" src="http://www.youtube.com/embed/videoseries?list=PL8DC1113ADB63358E" width="425"></iframe></div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-45841452662315765752014-06-24T09:00:00.000+03:002014-07-01T23:09:56.403+03:00Healing Love<div dir="ltr" style="text-align: left;" trbidi="on">
This weekend I watch a film about <a href="http://en.wikipedia.org/wiki/Giuseppe_Moscati">st. Giuseppe Moscati</a>, an italian doctor and scientist. It is very heartful and positive.<br />
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/pRkKwlneFho" width="420"></iframe>
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/wDKi6_6z_SQ" width="420"></iframe>
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Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-57085128058669956772014-06-22T18:33:00.001+03:002014-07-01T23:11:00.038+03:00Asset Based Securities Regulatory Changes<div dir="ltr" style="text-align: left;" trbidi="on">
<h3 style="text-align: left;">
What does ABS mean? </h3>
An <b>asset-backed security</b> (ABS) is a security whose income <u>payments</u> and hence the value is derived from and collateralized (or "backed") by a specified <u>pool of underlying assets</u>.<br />
The pool of assets is typically a group of small and/or illiquid assets which can’t be sold individually.<br />
The market appeared in the 1980’s and is developing till now<br />
<h4 style="text-align: left;">
ABS Basic Structure</h4>
<div>
<div>
The pools of underlying assets can include:</div>
<div>
<ul style="text-align: left;">
<li>Common payments e.g.: credit cards, auto loans, mortgage loans</li>
<li>Other cash flows e.g.: aircraft leases, royalty payments, movie revenues</li>
</ul>
</div>
<div>
Pooling is also called <u>securitization</u>.</div>
<div>
Hence, Collateral Debt Obligations (CDO) and Mortgage Backed Securities (MBS) are sub-types of ABS</div>
</div>
<h4 style="text-align: left;">
ABS Types by Cashflow Filling</h4>
<div>
<div>
<b>Fully-supported:</b> repayment is supported by a financial guarantee (surety bond, letter of credit, third party guarantee or irrevocable liquidity facility). </div>
<div>
This provides both liquidity and credit protection for investors: the provider of the support has agreed to provide funds to the SPV (Special Purpose Vehicle) to repay investors without regard to the value of assets owned by the SPV.</div>
<div>
<b>Partially-supported:</b> repayment primarily depends on the cash flow expected to be realized on the pool of assets, as well as liquidity and credit enhancement from third parties.</div>
</div>
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<div>
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<h3 style="text-align: left;">
Roles in ABS</h3>
<div>
<div>
<ul style="text-align: left;">
<li>Seller / Originator</li>
<li>Special Purpose Vehicle (SPV)</li>
<li>Servicer</li>
<li>Trustee</li>
<li>Underwriter</li>
<li>Investors</li>
</ul>
</div>
</div>
<div>
The <b>seller </b>assembles the pool of financial assets backing the securities by purchasing them. </div>
<div>
<div>
Synonyms: originator, depositor or other sponsor</div>
<div>
The <b>seller </b>then describes the financial assets in offering materials and sells the securities backed by them to investors. </div>
<div>
The <b>seller </b>also chooses other participants: underwriter, servicer, trustee.</div>
</div>
<div>
<br /></div>
<div>
<div>
<b>Underwriters</b>, their counsel and other experts conduct a <u>‘due diligence’</u> - review of the assets, the structure of the transaction and the parties involved to obtain protection under the securities laws that the prospectus or other sales document is accurate. </div>
</div>
<div>
<br /></div>
<div>
<div>
The <b>servicer </b>is appointed as an independent contractor who performs its servicing <u>obligations</u> for the benefit of the transaction investors. </div>
<div>
The servicer typically collects all the income from the assets, enforces the assets as needed and may perform any evaluations needed to substitute assets.</div>
</div>
<div>
<br /></div>
<div>
<div>
<b>Trustee </b>in ABS is a broad term role:</div>
<div>
<ul style="text-align: left;">
<li>Indenture (agreement) trustee</li>
<li>Issuing and paying agent</li>
<li>Securities registrar, transfer agent and calculation agent with respect to the securities</li>
<li>Custodian of the assets (on behalf of the issuer) </li>
<li>Analytics provider</li>
<li>Back-up servicer </li>
</ul>
</div>
</div>
<div>
<h3 style="text-align: left;">
REG AB</h3>
<div>
The Regulations AB were dopted in 2004</div>
<div>
Requires <u>specific disclosure</u> regarding ABS transaction counterparties in transactions registered with the SEC, including trustees, sponsors, depositors, issuing entities, servicers, originators and others. </div>
<div>
The crisis of 2007-2009 revealed the lack of transparency of ABS trading.</div>
</div>
<div>
<h3>
REG AB II Proposal</h3>
</div>
<div>
<div>
Proposed in April 2010, July 2011, August 2013 and is aimed to further enhance ABS market transparency.</div>
<div>
Lastly re-opened for comments on Feb 25, 2014 till March 28, 2014.</div>
<div>
New regulation will impose substantial changes in the rules and forms of the <u>offering process</u>, <u>disclosure</u> and <u>reporting requirements</u> for ABS </div>
<div>
<i>Proposal </i>is a different name of REG AB II</div>
<div>
SEC believes that compliance date for the new rules should NOT extend <u>more than a year</u> past their adoption date</div>
<div>
Though SEC requests comment on whether any of the proposals should be phased (from 6 months to 2 years). </div>
</div>
<div>
<div style="text-align: left;">
</div>
<ol style="text-align: left;">
<li>Registration<br />- Remove the <u>investment-grade</u> rating requirement for <u>shelf eligibility</u> and impose new requirements e.g. CEO certification</li>
<li>Disclosure<br />- Increase the amount of <u>disclosure</u> provided in public offerings and<br />- In shelf offerings, the <u>amount of time</u> that investors would have to examine the disclosure.<br />- Require that in any <u>private</u> offering of “structured finance products” made in reliance on Rule 144A under the Securities Act of 1933, investors have the <u>right</u> to obtain all of the same initial and ongoing information as if the offering were <u>SEC-registered</u>.</li>
<li>Periodic reporting <br />- This is less important thus is out of scope</li>
</ol>
</div>
<h4 style="text-align: left;">
Registration Process </h4>
<div>
<div>
According to Reg AB, securities may be later offered “off the shelf” (Form S-3) if the securities are <u>rated investment grade</u> by a nationally recognized statistical rating organization (NRSRO)</div>
<div>
Instead, Reg AB 2 (Form SF-3) would require new conditions:</div>
<div>
ABS sponsor to retain at least 5% of each tranche of ABS offered and would not permit hedging those holdings</div>
<div>
A certification filed at the time of each takedown by the CEO of the depositor that the assets in the pool will produce cash flows to service any payments on the securities as described in the prospectus.</div>
<div>
Transaction documents to contain a mandate for the trustee to appoint a credit risk manager which would review the pool assets when certain trigger events occur. </div>
</div>
<div>
<b>Purpose</b><br />
<ul style="text-align: left;">
<li>To avoid overflying on rating agencies adding <i>“skin of the game”</i></li>
<li>Stimulate inclusion of higher quality assets in ABS – risk retention</li>
</ul>
<b>Opposition</b><br />
<ul style="text-align: left;">
<li>Depositor CEO could not be expected to have the knowledge necessary <u>to certify the performance</u> of the securities </li>
<li>The text of the certification could still be taken <u>as a guarantee</u> of future performance even though SEC believes certification requirement is *NOT* intended to serve as a guarantee of payment of the securities.</li>
<li>Proposal for a 3-rd party opinion is complex, costly, and would not achieve its goals of strengthening the enforceability of representations and warranties regarding the pool assets.</li>
</ul>
</div>
<h4 style="text-align: left;">
Changes
Disclosure Enhancements </h4>
<div>
<div>
According to Reg AB, the issuer have to provide an incremental information - <u>static pool data</u> - so that investors can evaluate trends or patterns of the performance of specific types of assets originated at different points in time.</div>
<div>
In addition, Reg AB 2 requires standardized data on specific loans and assets within the pool:</div>
<div>
<ul style="text-align: left;">
<li>both at time of <u>registration</u> (e.g., credit scores of the obligors and date through which interest is paid in residential MBS, dealer geographic location and vehicle manufacturer for automobile-backed securities, etc)</li>
<li>and in an <u>ongoing</u> basis (e.g., whether an obligor is making payments as scheduled, efforts by the servicer to collect amounts past due, the losses that may pass through to investors, etc)</li>
</ul>
<div>
<b>Static Pool Data Example</b></div>
</div>
</div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjrcowAT18w-VvdjTypZNqOMZWGjY1cpQmg-3HgjdHaG30MpI4zPb5wYrSg3pw5kY6ZVDfl0-6X7YQiUBPPYdw7Z7wFCherDeAyd0070YliJP3gDBYTWdmMvWTO1k50RYuGGP5C/s1600/ABS+Disclosure.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjrcowAT18w-VvdjTypZNqOMZWGjY1cpQmg-3HgjdHaG30MpI4zPb5wYrSg3pw5kY6ZVDfl0-6X7YQiUBPPYdw7Z7wFCherDeAyd0070YliJP3gDBYTWdmMvWTO1k50RYuGGP5C/s1600/ABS+Disclosure.png" height="306" width="400" /></a></div>
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<span lang="EN-GB" style="font-size: 12pt;"><a href="https://www.blogger.com/goog_724018872">http://www.gmfinancial.com/investors-information/abs-information/static-pool-information/static-</a></span><span lang="EN-GB" style="font-size: 12pt;"><a href="http://pool-data.aspx/">pool-data.aspx</a></span><br />
<a href="http://www.stgeorge.com.au/corporate-business/institutional-financial-markets/static-pool-data" style="font-size: 12pt;">http://www.stgeorge.com.au/corporate-business/institutional-financial-markets/static-pool-data</a><br />
<a href="https://www.jpmorgan.com/pages/jpmc/ir/financial/abs/static/cc" style="font-size: 12pt;">https://www.jpmorgan.com/pages/jpmc/ir/financial/abs/static/cc</a></div>
<div>
<h4 style="text-align: left;">
Disclosure of Pool Asset Data</h4>
<b>Purpose</b><br />
<ul style="text-align: left;">
<li>To bring more transparency for investors about the pool of assets</li>
</ul>
<b>Opposition</b><br />
<ul style="text-align: left;">
<li>Originally the new asset-level data points would have been required to be publicly filed on <a href="http://www.sec.gov/edgar/searchedgar/webusers.htm">EDGAR</a>. – e.g.: geographic location, credit score, income and debt geographic location, credit score, income and debt. However, certain data points can <u>disclose private information</u> and break privacy law.</li>
</ul>
</div>
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<span style="font-size: 12pt; mso-bidi-font-family: Arial;">EDGAR - </span><span lang="EN-GB" style="font-size: 12pt; mso-bidi-font-family: Arial;"><b>Electronic Data-Gathering, Analysis, and Retrieval</b></span><span lang="EN-GB" style="font-size: 12pt; mso-bidi-font-family: Arial;"> system, performs automated </span><span lang="EN-GB" style="font-size: 12pt; mso-bidi-font-family: Arial;">collection, validation, indexing, acceptance, and forwarding of submissions by companies and </span><span lang="EN-GB" style="font-size: 12pt; mso-bidi-font-family: Arial;">others who are required by law to file forms with the </span><span lang="EN-GB" style="font-size: 12pt; mso-bidi-font-family: Arial;">U.S. Securities and Exchange </span><span lang="EN-GB" style="font-size: 12pt; mso-bidi-font-family: Arial;">Commission</span><span lang="EN-GB" style="font-size: 12pt; mso-bidi-font-family: Arial;">(the "SEC"). The database is freely available to the public via the Internet (Web or </span><span lang="EN-GB" style="font-size: 12pt; mso-bidi-font-family: Arial;">FTP).
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhpFNiE2z6qFFek_33IzSgWfow-0witWRpGBsjRRefF1Okbss9TjVcYUW_8V6FXdtQbCQHa4ENPnmD5BDHYG7Zm9StX03H_f_VsxYI3nXlbrNdr9dMO7dg7RDYZpeI4tkUCWiJi/s1600/EDGAR2.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhpFNiE2z6qFFek_33IzSgWfow-0witWRpGBsjRRefF1Okbss9TjVcYUW_8V6FXdtQbCQHa4ENPnmD5BDHYG7Zm9StX03H_f_VsxYI3nXlbrNdr9dMO7dg7RDYZpeI4tkUCWiJi/s1600/EDGAR2.png" height="233" width="400" /></a></div>
<div>
<h4 style="text-align: left;">
Disclosure and Privacy Issues</h4>
<div>
Instead, later SEC proposed requiring disclosure of <u>ranges</u> or <u>categories</u> rather than exact information with respect to the obligor’s credit score, income and debt.</div>
<div>
Also SEC considers whether <u>sensitive asset-level data</u> to be made available to investors and potential investors directly <u>by the issuer</u> on a <u>website</u>, rather than being filed on EDGAR.</div>
<div>
Under the SEC proposed approach, asset-level information that does NOT implicate privacy concerns <u>would still be filed</u> on EDGAR and made available to the general public.</div>
<div>
<br /></div>
<div>
<b>Purpose</b></div>
</div>
<div>
<div>
<ul style="text-align: left;">
<li>This approach allows SEC to get away from the need to resolve the privacy law issue in particular the <i>Fair Credit Reporting Act</i>.</li>
<li><b>Fair Credit Report Act</b> limits the ability to share some asset level data but in exception for disclosure to potential investors</li>
<li>The SEC staff believes that issuers are <u>best suited</u> to determine who is a <u>potential investor</u> and whether the chosen method of <u>dissemination</u> falls within the exception.</li>
</ul>
<b>Opposition</b><br />
<ul style="text-align: left;">
<li>The privacy issue does *NOT* disappear since issuers have to implement <u>their own procedures</u> of information delivery and privacy controls. E.g. by requiring user registration and accepting an agreement not to reverse engineer the data. </li>
</ul>
</div>
</div>
<h4 style="text-align: left;">
Disclosure of Cashflow and Simulator</h4>
<div>
<div>
Additionally the proposal requires issuer to file <b>waterfall</b> computer program giving effect of <u>flow of funds</u> from the assets to the investors.</div>
<div>
E.g.: how borrower’s loan payments are distributed, how losses are divided among investors, when administrative expenses are paid to service providers</div>
<div>
The computer program would be filed on EDGAR in the form of downloadable source code in Python.</div>
<div>
<br /></div>
<div>
Investors could use the computer program to:</div>
<div>
<ul style="text-align: left;">
<li>perform cash flow simulations (based upon assumed interest rates, default rates, prepayment speeds, etc.), </li>
<li>generate present value estimates for ABS and </li>
<li>monitor ongoing performance. </li>
</ul>
</div>
</div>
<div>
<br /></div>
<div>
<div>
<b>Purpose</b></div>
<div>
<ul style="text-align: left;">
<li>The computer program is intended to provide investors with a tool to perform their own quantitative analysis and be less dependent upon third parties.</li>
</ul>
</div>
<div>
<b>Opposition</b></div>
<div>
<ul style="text-align: left;">
<li>The requirements for the “waterfall” program are not clear so far.</li>
<li>Commenters also raised liability concerns. </li>
</ul>
</div>
</div>
<h4 style="text-align: left;">
Privately-Issued Structured Finance Products</h4>
<div>
<div>
Require that in any <u>private</u> offering of “structured finance products” investors <u>have the right</u> to obtain all of the same initial and ongoing information as if the offering were <u>SEC-registered</u>.</div>
<div>
Private are offerings made in reliance on Rule 144A under the Securities Act of 1933</div>
<div>
However, according to the most recent comments it suggests that asset-level disclosure in the private market will not be driven by Regulation AB II, but <u>by investor demand</u>. </div>
<div>
Whether new disclosure requirements for Rule 144A offerings will be included in the final rules when adopted by the SEC <u>remains to be seen</u>.</div>
</div>
<div>
<br /></div>
<div>
</div>
</div>
</div>
<h3 style="text-align: left;">
References</h3>
<div>
<div>
<ol style="text-align: left;">
<li>Re-Opening of Comment Period for Asset-Backed Securities Release, SEC Release Nos. 33-9552, 34-71611, available at <a href="https://www.sec.gov/rules/proposed/2014/33-9552.pdf">https://www.sec.gov/rules/proposed/2014/33-9552.pdf</a></li>
<li>Asset-Backed Securities; Proposed Rule, SEC Release Nos. 33-9117, 34-61858, 75 Fed. Reg. 23328 (May 3, 2010), available at <a href="https://www.sec.gov/rules/proposed/2010/33-9117fr.pdf">https://www.sec.gov/rules/proposed/2010/33-9117fr.pdf</a> </li>
<li><a href="http://www.bingham.com/Alerts/Files/2010/04/A-Guide-to-the-SECs-Proposed-Revisions-to-the-Rules-and-Forms-for-Offerings-of-Asset-Backed-Securities">http://www.bingham.com/Alerts/Files/2010/04/A-Guide-to-the-SECs-Proposed-Revisions-to-the-Rules-and-Forms-for-Offerings-of-Asset-Backed-Securities</a> </li>
<li>Re-proposal of Shelf Eligibility Conditions for Asset-Backed Securities and Other Additional Requests for Comment, SEC Release Nos. 33–9244, 34–64968, 76 Fed. Reg. 46948, Aug. 5, 2011), available at <a href="https://www.sec.gov/rules/proposed/2011/33-9244fr.pdf">https://www.sec.gov/rules/proposed/2011/33-9244fr.pdf</a></li>
<li><a href="http://www.bingham.com/Alerts/2011/08/SEC-Re-Proposes-Shelf-Eligibility-Conditions-and-Filing-Requirements-for-Transaction-Documents-in-Offerings-of-Asset-Backed">http://www.bingham.com/Alerts/2011/08/SEC-Re-Proposes-Shelf-Eligibility-Conditions-and-Filing-Requirements-for-Transaction-Documents-in-Offerings-of-Asset-Backed</a></li>
<li><a href="http://www.bingham.com/Alerts/2014/01/SEC-to-Consider-Adopting-Regulation-AB-II-on-February">http://www.bingham.com/Alerts/2014/01/SEC-to-Consider-Adopting-Regulation-AB-II-on-February</a> </li>
</ol>
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Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-55555732300724412402014-03-16T16:04:00.002+02:002014-07-01T23:11:57.721+03:00Tempora mutantur<div dir="ltr" style="text-align: left;" trbidi="on">
Recommended: moody drama "Two Gussars" (1984)<br />
<iframe allowfullscreen='allowfullscreen' webkitallowfullscreen='webkitallowfullscreen' mozallowfullscreen='mozallowfullscreen' width='320' height='266' src='https://www.youtube.com/embed/Ooj1qfbuPGk?feature=player_embedded' frameborder='0'></iframe><br />
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<object class="BLOGGER-youtube-video" classid="clsid:D27CDB6E-AE6D-11cf-96B8-444553540000" codebase="http://download.macromedia.com/pub/shockwave/cabs/flash/swflash.cab#version=6,0,40,0" data-thumbnail-src="https://ytimg.googleusercontent.com/vi/DI_MJ3lyBeQ/0.jpg" height="266" style="clear: left; float: left;" width="320"><param name="movie" value="https://youtube.googleapis.com/v/DI_MJ3lyBeQ&source=uds" /><param name="bgcolor" value="#FFFFFF" /><param name="allowFullScreen" value="true" /><embed width="320" height="266" src="https://youtube.googleapis.com/v/DI_MJ3lyBeQ&source=uds" type="application/x-shockwave-flash" allowfullscreen="true"></embed></object>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhfk4imRJC1wafLRnNqEKohrONTf4vqdz7o62FlJznN9qil68aIiLH81oi4P9qw5W4UfrhbobNABnsIqYqlzu_Shvvg3_Wf00jthl5EHpQKczhuAzLGNz4DYnZIilu5TWiAbynl/s1600/Fullscreen+capture+3162014+34719+PM.bmp.jpg" imageanchor="1" style="clear: left; float: left; margin-bottom: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhfk4imRJC1wafLRnNqEKohrONTf4vqdz7o62FlJznN9qil68aIiLH81oi4P9qw5W4UfrhbobNABnsIqYqlzu_Shvvg3_Wf00jthl5EHpQKczhuAzLGNz4DYnZIilu5TWiAbynl/s1600/Fullscreen+capture+3162014+34719+PM.bmp.jpg" height="166" width="200" /></a><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiF4bYKCyTk6EMLClEYY8g-kDUoGHizVi05q-g9fUhyphenhypheniD0vXBHQgFbjHgikrHdISvhnoM9L1MYvzu9xVRCP9lFUXqK5-JdJighL_xNdnPsnXzgQSvZtUelWMBMYdzP10UQYap9F/s1600/Fullscreen+capture+3162014+34759+PM.bmp.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiF4bYKCyTk6EMLClEYY8g-kDUoGHizVi05q-g9fUhyphenhypheniD0vXBHQgFbjHgikrHdISvhnoM9L1MYvzu9xVRCP9lFUXqK5-JdJighL_xNdnPsnXzgQSvZtUelWMBMYdzP10UQYap9F/s1600/Fullscreen+capture+3162014+34759+PM.bmp.jpg" height="166" width="200" /></a></div>
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Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-6193089173482469852014-02-24T21:40:00.000+02:002014-07-05T09:45:20.985+03:00Touching Moments of My Life<div dir="ltr" style="text-align: left;" trbidi="on">
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/L3tYjmc6pCw" width="420"></iframe>
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/bI0wab0gm3M" width="420"></iframe></div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-36068811734678764702013-12-15T22:22:00.001+02:002014-07-05T09:53:43.313+03:00Advent time 2013<div dir="ltr" style="text-align: left;" trbidi="on">
Sunday, December 1 - Tuesday, December 24
<br />
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/MIaHJaod2jE?list=PLB705D3549DCD3089" width="560"></iframe></div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-24436582242090362772013-11-09T20:46:00.002+02:002014-07-05T09:44:45.595+03:00FAQ in Quantitative Finance<div dir="ltr" style="text-align: left;" trbidi="on">
<div>
Reading now <a href="http://amzn.com/0470748753">"Frequently Asked Questions in Quantitative Finance"</a>
by Paul Wilmott. It contains lots of fundamental terms and lets the reader understand principle ideas of different approaches, methods, models, etc. It encourages the reader to get a broad picture of problems solved by quants.<br />
Recommended!</div>
<br /></div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-57889592141516863742013-09-22T21:31:00.000+03:002014-07-05T09:55:08.909+03:00Through a Train Window<div dir="ltr" style="text-align: left;" trbidi="on">
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/GPQaPgZJ98g?list=PL7AC2E22BDB4F934F" width="560"></iframe>
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Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-84509801540717456792013-09-21T19:08:00.003+03:002014-07-01T23:13:41.715+03:00Modern Portfolio Theory References<div dir="ltr" style="text-align: left;" trbidi="on">
Recently I've got to refresh MPT knowledge and hence there are few references to share.<br />
<h4 style="text-align: left;">
Biography </h4>
<br />
<ul style="text-align: left;">
<li><a href="http://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/1990/markowitz-bio.html">http://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/1990/markowitz-bio.html</a></li>
<li><a href="http://news.stanford.edu/news/2006/june7/memldant-060706.html%C2%A0">http://news.stanford.edu/news/2006/june7/memldant-060706.html </a></li>
</ul>
<br />
<h4 style="text-align: left;">
MPT and Markowitz Model </h4>
<br />
<ul style="text-align: left;">
<li><a href="http://mertens.com.ua/books/files/finmrkts_ch06.doc">http://mertens.com.ua/books/files/finmrkts_ch06.doc</a></li>
<li><a href="http://www.thedigeratilife.com/blog/index.php/2009/05/14/modern-portfolio-theory-manage-risk-diversification/%C2%A0">http://www.thedigeratilife.com/blog/index.php/2009/05/14/modern-portfolio-theory-manage-risk-diversification/ </a></li>
</ul>
<br />
<h4 style="text-align: left;">
Operations Research </h4>
<br />
<ul style="text-align: left;">
<li><a href="http://en.wikipedia.org/wiki/Quadratic_programming%C2%A0">http://en.wikipedia.org/wiki/Quadratic_programming </a></li>
<li><a href="http://en.wikipedia.org/wiki/Lagrange_multiplier%C2%A0">http://en.wikipedia.org/wiki/Lagrange_multiplier </a></li>
</ul>
<br />
<h4 style="text-align: left;">
Python Implementation</h4>
<br />
<ul style="text-align: left;">
<li><a href="http://travisvaught.blogspot.com/2011/09/modern-portfolio-theory-python.html">http://travisvaught.blogspot.com/2011/09/modern-portfolio-theory-python.html</a></li>
<li><a href="https://github.com/tvaught/experimental/blob/master/portfolio_metrics/mpt.py"> https://github.com/tvaught/experimental/blob/master/portfolio_metrics/mpt.py</a></li>
</ul>
</div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-78481941634234397302013-09-15T22:49:00.001+03:002014-07-05T09:46:00.008+03:00Miserere mei, Deus<div dir="ltr" style="text-align: left;" trbidi="on">
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/36Y_ztEW1NE" width="420"></iframe><br />
See about <a href="http://en.wikipedia.org/wiki/Miserere_(Allegri)">http://en.wikipedia.org/wiki/Miserere_(Allegri)</a><br />
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/jVi3uKNmi98" width="420"></iframe>
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Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-28856869173109588632013-09-15T21:26:00.000+03:002014-07-01T23:12:50.634+03:00Trade Lifecycle<div dir="ltr" style="text-align: left;" trbidi="on">
<div style="text-align: left;">
Thousands of people in financial industry are explicitly involved in financial trading all over the world. Hundreds of thousands are involved implicitly. Based on my experience the percentage of people consciously doing their job is not high. Nevertheless it is highly important to understand at least the high level principles of process happening behind the scenes of financial institution when a trade is done.</div>
<h4 style="text-align: left;">
Who Works on the Trade?</h4>
<div>
First, it is necessary to understand what stakeholders work with the trade during its life.</div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg7hoQXt8RQPn6rM4YtYKuyrf1F-kqFCFGgSctmpUOcspq15uG2Zn_vX4VqmF6Eo42YGzGzhx_8J-5PeTWkmMNJtF0ZdHICyA5uKzMz9M303ofDH1wVbVoEWcps6oxPj-SeFqZm/s1600/WhoWorksOnTheTrade.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg7hoQXt8RQPn6rM4YtYKuyrf1F-kqFCFGgSctmpUOcspq15uG2Zn_vX4VqmF6Eo42YGzGzhx_8J-5PeTWkmMNJtF0ZdHICyA5uKzMz9M303ofDH1wVbVoEWcps6oxPj-SeFqZm/s640/WhoWorksOnTheTrade.png" height="340" width="640" /></a></div>
<div>
<br /></div>
<h4 style="text-align: left;">
Trade Info Structure</h4>
<div>
Below you can find a sample of trade attributes structured into different categories (the trade is not real):</div>
<br />
<ul style="text-align: left;">
<li>General</li>
<ul>
<li>Identifier: E54123</li>
<li>Asset class: Equity </li>
<li>Type: Spot </li>
<li>Status: Awaiting confirmation </li>
<li>Trade date: 3 June 2009 </li>
<li>Transaction time: 11:09 GMT+1 </li>
<li>Transaction location: London</li>
</ul>
<li>Economic</li>
<ul>
<li>Buy or Sell: Buy </li>
<li>Notional: 20 000 </li>
<li>Ticker: CAD </li>
<li>Exchange: LSE </li>
<li>Currency: GBP </li>
<li>Price: 15.27p </li>
</ul>
<li>Sales</li>
<ul>
<li>Salesperson: Elizabeth Smith </li>
<li>Sales credits: 150 </li>
</ul>
<li>Legal</li>
<ul>
<li>Jurisdiction: UK </li>
</ul>
<li>Booking</li>
<ul>
<li>Desk: Equity trading </li>
<li>Trader: John Baker </li>
<li>Assistant: Mark Eton </li>
<li>Trading book: GBP Equity trading </li>
</ul>
<li>Counterparty</li>
<ul>
<li>Counterparty: The Bank Address: Liverpool st, London </li>
<li>Payment Type: SWIFT </li>
<li>Payment Code: UIT TRY XXX </li>
<li>Counterparty reference: LCE1985-04B </li>
<li>Settlement Date: 5 June 2009 </li>
</ul>
<li>Timeline</li>
<ul>
<li>Trade date: 15 June 2009 </li>
<li>Settlement date: 17 June 2009 </li>
<li>Maturity date: 15 Sep 2009</li>
</ul>
</ul>
<br />
<h4 style="text-align: left;">
Life cycle</h4>
<div>
Different stakeholders work with the trade at different time. This is similar to a conveyor at a plant.</div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi_ETe7j3EmHKOYgDlq_bD8UAGDBpVwNu-1mH7qEGYdU1_XrBdgetwttXVYiBSuS9sqtzA7RRmYBoGbL_n6iDyofOS_Gwhphzvp_7QNwRqXeIaZTObGJ8y6crgpoo0vEIaI97Jz/s1600/TradeLifecycle+-+1.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi_ETe7j3EmHKOYgDlq_bD8UAGDBpVwNu-1mH7qEGYdU1_XrBdgetwttXVYiBSuS9sqtzA7RRmYBoGbL_n6iDyofOS_Gwhphzvp_7QNwRqXeIaZTObGJ8y6crgpoo0vEIaI97Jz/s640/TradeLifecycle+-+1.png" height="222" width="640" /></a></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhVhX-CdyyOpULFmHCqM3yzQ-bdiwBLNrACwxZcm9M4JrZim3tf43BJChUYDgtPiiD5UYj834OfKo7V8JgdSMOKZz9o9Y_Ih79wnA2vRzRdsr1jpyYRcCwHRtQ-qt_nlpMPlXrg/s1600/TradeLifecycle+-+2.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhVhX-CdyyOpULFmHCqM3yzQ-bdiwBLNrACwxZcm9M4JrZim3tf43BJChUYDgtPiiD5UYj834OfKo7V8JgdSMOKZz9o9Y_Ih79wnA2vRzRdsr1jpyYRcCwHRtQ-qt_nlpMPlXrg/s640/TradeLifecycle+-+2.png" height="222" width="640" /></a></div>
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Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-3957578499465729882013-09-15T10:59:00.003+03:002014-07-05T09:56:29.035+03:00Black Scholes Option Pricing <div dir="ltr" style="text-align: left;" trbidi="on">
<h4 style="text-align: left;">
Background</h4>
Major break-through in the valuation of derivatives came with two finance professors at MIT, Black and Scholes, came out with a formula that related the price of a call option to the price of the stock to which the option applies. Even though the model is not used by financial institutions today it still contains ideas that used in financial modelling.<br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi0cP69q86-_D9P9vecfDNuZLMh8r1DrI43fz9099yOwzHleNT-VUJ7YM0bPM92HzarQEiT0aH0xtnwRYMHJS2GDJ7xQK7eT-ESpSpiGtwwVqemP80RAlDWpPqq63Rx1uQvWmk9/s1600/Black-Scholes-Merton.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi0cP69q86-_D9P9vecfDNuZLMh8r1DrI43fz9099yOwzHleNT-VUJ7YM0bPM92HzarQEiT0aH0xtnwRYMHJS2GDJ7xQK7eT-ESpSpiGtwwVqemP80RAlDWpPqq63Rx1uQvWmk9/s320/Black-Scholes-Merton.png" height="320" width="263" /></a></div>
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The Black-Scholes formula is a partial differential equation that can be used to price the present value of an option under certain assumptions. The equation describes the Markov process of underlying asset price and it looks as given below:</div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEinXqA2VcdTcrsMjrm0-XUhX4_msukO4liV2O8wJOI9P9rV-kb-158WFHlsb6hmWrwf2CuMz6nLHAHhx-oUe7vr3ihLH82hajh7W4Ub_rIp6FPA_1Ni53xhYANjO9-xkrZJPODu/s1600/BlackSholes-PDE.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEinXqA2VcdTcrsMjrm0-XUhX4_msukO4liV2O8wJOI9P9rV-kb-158WFHlsb6hmWrwf2CuMz6nLHAHhx-oUe7vr3ihLH82hajh7W4Ub_rIp6FPA_1Ni53xhYANjO9-xkrZJPODu/s200/BlackSholes-PDE.png" height="20" width="200" /></a></div>
There is an analytical solution of the equation, the walkthrough is given in this video:<br />
<div style="text-align: center;">
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/i0sGAds8ztI" width="560"></iframe>
</div>
<h4 style="text-align: left;">
Monte Carlo Simulation</h4>
Assuming the Brownian motion over this short period will be a normal (Gaussian) distribution with a mean of 0 and a variance of the time interval the iterative formula will be as follows:<br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiJvyA__MKuI5jaYbC07Qs9LC-FBIZmj2gb3eRbRhUptWsJZTxBGAhkmOqxs6Od7TuaYxpGVZt7FTNq7rq9Wwh39tzaJUHGJf9iNYg9vqtda5LMjySrpoWYydo5Ihz-vcxn-Qc3/s1600/BlackSholes-Recursive.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiJvyA__MKuI5jaYbC07Qs9LC-FBIZmj2gb3eRbRhUptWsJZTxBGAhkmOqxs6Od7TuaYxpGVZt7FTNq7rq9Wwh39tzaJUHGJf9iNYg9vqtda5LMjySrpoWYydo5Ihz-vcxn-Qc3/s400/BlackSholes-Recursive.png" height="50" width="400" /></a></div>
Let's take the case of Option Call holder. The favourable cases of underlying asset movement (F) is given on the picture below:<br />
<div style="text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjeQCuecnPtjyuZK9xjcrFrbfIBuAkD0Lwjb53QUq8GIBLiSFxEEnaVfI4h4ZkjyopGztSS7VlkvxbswjosvCUFpcEmPQg60yuGtaRRF5n1VQFR7HTqMiffYU_f6pSuXtJoKAUn/s1600/OptionCallPayoff.png" imageanchor="1" style="clear: left; display: inline !important; margin-bottom: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjeQCuecnPtjyuZK9xjcrFrbfIBuAkD0Lwjb53QUq8GIBLiSFxEEnaVfI4h4ZkjyopGztSS7VlkvxbswjosvCUFpcEmPQg60yuGtaRRF5n1VQFR7HTqMiffYU_f6pSuXtJoKAUn/s1600/OptionCallPayoff.png" /></a></div>
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Below you can find an <a href="https://raw.github.com/nmedin/Code/master/MonteCarlo.Black-Scholes.py">implementation</a> of Monte Carlo simulation of option pricing in python.</div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgcwfc5Tjd2FQdYQ1Qv1y7KnEgJ6N4lNJuysndcxaoa1_MXWPu057ye9musHpMQOIa27bP7pg8TdoodpCWglklLbss9qWvNnsv8jjqLM2nGDm8XsreRfREF78tKuevdnR1PiXg1/s1600/BlackSholes-Python.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgcwfc5Tjd2FQdYQ1Qv1y7KnEgJ6N4lNJuysndcxaoa1_MXWPu057ye9musHpMQOIa27bP7pg8TdoodpCWglklLbss9qWvNnsv8jjqLM2nGDm8XsreRfREF78tKuevdnR1PiXg1/s320/BlackSholes-Python.png" height="261" width="320" /></a></div>
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The program will generate a number of asset price paths. At option expiry time obviously the price will differ. Option price then will be the average of all gains received at expiry time.</div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh7i5oaGEgxHOigdptZXGF0eNiVrBYmE3B3KNyhoyoY27YhyphenhyphenW4At0jOq7rQ5GS3UbYRpp1JcyJjnlDZUU83j7VeO6yHMAMYwi1uGSCVoWXK9_z4_kj2wqev3UUakz-H6ki6DmZw/s1600/MonteCarloSimulation.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh7i5oaGEgxHOigdptZXGF0eNiVrBYmE3B3KNyhoyoY27YhyphenhyphenW4At0jOq7rQ5GS3UbYRpp1JcyJjnlDZUU83j7VeO6yHMAMYwi1uGSCVoWXK9_z4_kj2wqev3UUakz-H6ki6DmZw/s320/MonteCarloSimulation.png" height="278" width="320" /></a></div>
<h4 style="text-align: left;">
Usefull Links</h4>
<ol style="text-align: left;">
<li>J.Hull Futures, Options and Other Derivatives </li>
<li>http://pyvideo.org/video/1154/derivatives-analytics-with-python-numpy-0</li>
<li>https://www.enthought.com/store/ </li>
<li>http://www.python.org/download/releases/2.7/ </li>
<li>http://www.youtube.com/watch?v=i0sGAds8ztI&list=TLJV-9_NNgcRU
</li>
<li>http://www.personal.psu.edu/alm24/undergrad/bingqianMonteCarlo.pdf
</li>
<li>http://www.automatedtrader.net/glossary/Black-Scholes</li>
</ol>
</div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-9540818924108066012013-07-11T21:04:00.003+03:002014-07-05T09:47:17.812+03:00JP Morgan Heads HPC<div dir="ltr" style="text-align: left;" trbidi="on">
<div dir="ltr" style="text-align: left;" trbidi="on">
JP Morgan is now able to run risk analysis and price its global credit portfolio in near real-time after implementing High Performance Computing (HPC) capabilities.
<br />
Prior to the implementation, JP Morgan would take eight hours to do a complete risk run, and an hour to run a present value, on its entire book. If anything went wrong with the analysis, there was no time to re-run it.
It has now reduced that to about 238 seconds, with an FPGA time of 12 seconds.
<br />
Read full article <a href="http://www.cfoworld.co.uk/news/technology/3290497/jp-morgan-supercomputer-offers-risk-analysis-in-near-real-time/">here</a></div>
<iframe allowfullscreen="" frameborder="0" height="315" src="//www.youtube.com/embed/9NqX1ETADn0" width="420"></iframe></div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-30665499209905490482013-07-07T12:43:00.002+03:002014-07-05T09:56:03.557+03:00Parallel Programming for Quantitative Finance<div dir="ltr" style="text-align: left;" trbidi="on">
Investment banks like calculations that require powerful computational resources. In many cases Monte-Carlo simulations are run on huge GRID systems that cost a lot.<br />
Such systems are usually home grown and really look expensive to replicate elsewhere.<br />
<br />
Few monthes ago I read an article in RISK magazine that outlined the same problem and as an option a chipper and more flexible approach was mentioned that is based on multi-core CPU and GPU.<br />
<a href="http://www.nvidia.co.uk/content/EMEAI/PDF/risk-magazine-tesla-april2013.pdf">http://www.nvidia.co.uk/content/EMEAI/PDF/risk-magazine-tesla-april2013.pdf</a><br />
<br />
GPU programming probably is not too complex although it definitely requires some background desk devs or quants might not have. A company Xcelerit <a href="http://www.xcelerit.com/">http://www.xcelerit.com</a>/ made an attempt to ease the parallel programming. They provide SDK that allows quants develop and execute their C++ programs on a high-performance environment.<br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjKtzo48z55jX0seHUDW_F6LLKzP3N7hsx8TIO59zo_VzLce6Y93X8RvAKhtM3hUVmU5JcO3772SnfYLWKhM8tleilZ-OI6chAUHWhjCpyxqvrtbpq3baUUibw7F1Oy_FHRsrpy/s1600/sdk.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjKtzo48z55jX0seHUDW_F6LLKzP3N7hsx8TIO59zo_VzLce6Y93X8RvAKhtM3hUVmU5JcO3772SnfYLWKhM8tleilZ-OI6chAUHWhjCpyxqvrtbpq3baUUibw7F1Oy_FHRsrpy/s320/sdk.png" height="215" width="320" /></a></div>
<br />
Furthermore they have a library that comes with base statistics functions, market data adapters and a number of interfaces for commonly used software packages, e.g. MATLAB, Excel.<br />
<a href="http://www.xcelerit.com/xcelerit-forges-new-tools-for-quantitative-finance/">http://www.xcelerit.com/xcelerit-forges-new-tools-for-quantitative-finance/</a><br />
<br />
They also outlined some case studies of inefficiencies of sequential program execution on a GRID compared to multi-core CPU architectures.<br />
<a href="http://blog.xcelerit.com/efficiently-using-computing-grids-in-the-financial-industry/">http://blog.xcelerit.com/efficiently-using-computing-grids-in-the-financial-industry/</a><br />
<br />
Examples of SDK usage<br />
<a href="http://blog.xcelerit.com/xcelerit-sdk-user-experience/">http://blog.xcelerit.com/xcelerit-sdk-user-experience/</a><br />
<br />
HSBC usage<br />
<a href="http://blog.xcelerit.com/hsbc-run-risk-in-real-time-with-xcelerit-and-gpus/">http://blog.xcelerit.com/hsbc-run-risk-in-real-time-with-xcelerit-and-gpus/</a><br />
<br />
Let's see whether this attempt of Xcelerit will have a successful continuation.</div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-8332238321523971572013-01-30T22:15:00.002+02:002013-01-30T22:15:11.813+02:00Global Economy Outlook<iframe width="560" height="315" src="http://www.youtube.com/embed/bbsDDVBn2nA" frameborder="0" allowfullscreen></iframe>Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-30991710874244209302013-01-29T22:09:00.001+02:002013-01-29T22:09:07.322+02:00Cassandra Quick Intro<div dir="ltr" style="text-align: left;" trbidi="on">
A good quick start article about Cassandra http://maxgrinev.com/2010/07/09/a-quick-introduction-to-the-cassandra-data-model/</div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-14768160014283107322012-12-12T23:17:00.001+02:002012-12-12T23:17:45.317+02:00IBM 360 Emulator<div dir="ltr" style="text-align: left;" trbidi="on">
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg-Ph1kv629b7fKCt38O1RfiE94hZBy_1OIRNxK92hyqmQp0nTruCbNkZ8Yvx2oMXLyHamAahmGLPeUq3EN9MaT8H2wZZmdfTqN26cyO5-6Of606eS90Ze-z_KlAqB71li7_ShI/s1600/Screenshot_1.png" imageanchor="1" style="clear: left; float: left; margin-bottom: 1em; margin-right: 1em;"><img border="0" height="243" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg-Ph1kv629b7fKCt38O1RfiE94hZBy_1OIRNxK92hyqmQp0nTruCbNkZ8Yvx2oMXLyHamAahmGLPeUq3EN9MaT8H2wZZmdfTqN26cyO5-6Of606eS90Ze-z_KlAqB71li7_ShI/s320/Screenshot_1.png" width="320" /></a><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg-Ph1kv629b7fKCt38O1RfiE94hZBy_1OIRNxK92hyqmQp0nTruCbNkZ8Yvx2oMXLyHamAahmGLPeUq3EN9MaT8H2wZZmdfTqN26cyO5-6Of606eS90Ze-z_KlAqB71li7_ShI/s1600/Screenshot_1.png" imageanchor="1" style="clear: left; float: left; margin-bottom: 1em; margin-right: 1em;"><br /></a><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg-Ph1kv629b7fKCt38O1RfiE94hZBy_1OIRNxK92hyqmQp0nTruCbNkZ8Yvx2oMXLyHamAahmGLPeUq3EN9MaT8H2wZZmdfTqN26cyO5-6Of606eS90Ze-z_KlAqB71li7_ShI/s1600/Screenshot_1.png" imageanchor="1" style="clear: left; float: left; margin-bottom: 1em; margin-right: 1em;"><br /></a></div>
For the last decades the "face" of IT industry drastically changed. For those who disagree or who wants to dive into "old good times" is the following link <a href="http://www.masswerk.at/google60/">IBM 360</a>
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Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-20221399342648556482012-11-24T15:34:00.003+02:002012-11-24T15:34:58.384+02:00Saturday Thoughts on Big Data<div dir="ltr" style="text-align: left;" trbidi="on">
I am listening to "The Forum" BBC radio program devoted to Humans and Big Data. In background I bare in mind an idea data becomes rubbish now days. Humans should either get rid of unused data or find a better mechanism to persist it. Otherwise we will be buried beneath its huge volumes.<br />Neural networks but on a completely different level might help but this is still a challenging task.</div>
Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0tag:blogger.com,1999:blog-34112322.post-50878105052011508642012-11-18T18:04:00.002+02:002012-11-18T21:37:05.995+02:00One True Thing<iframe width="420" height="315" src="http://www.youtube.com/embed/LTWhyNKYbLM" frameborder="0" allowfullscreen></iframe><div dir="ltr" style="text-align: left;" trbidi="on">
There are films not highly appreciated by IMDB society. But some of them resonate in what people feel. "One True Thing" is worth seeing. Just tune in and think what is the true thing for you.</div>Nickhttp://www.blogger.com/profile/11495339051781934052noreply@blogger.com0