Bookshelf

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!

Java World 2014

Last time I worked with Java the most recent version was 1.4. Yes, it was quite a long time ago :)
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!

I have read all the parts (Part 1, Part 2 and Part 3) and I should admit, it was worth reading!

P.S. Happy New Year. I wish the coming year will be good and peaceful for ALL the people.
Enjoy!

Hypothetical Risk Valuation System

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.

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.

Despite the fact banks tend to develop risk valuation systems in-house all of them can generally fit into the given below schema.

How the system works

Credit Risk Modelling Slides

A good overview of credit crisis of 2007-2009 and credit risk modelling of CDO's using copula correlation models.

Copula approach to Default Correlation and the Credit Crisis of 2008/2009 from Robbin Tops

Bayessian Networks Overview

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!
Hence I would like to share few links to useful resources:

• Bayesian Analysis http://habrahabr.ru/post/170545/ and http://habrahabr.ru/post/170633/
• Naive Bayes Classifier http://habrahabr.ru/company/surfingbird/blog/150207/
• Latent Dirichlet Allocation (LDA) http://habrahabr.ru/company/surfingbird/blog/150607/
• Bayesian Networks http://habrahabr.ru/company/surfingbird/blog/176461/ and http://habrahabr.ru/company/surfingbird/blog/177889/
• Video Lesson 2 http://shad.yandex.ru/lectures/machine_learning.xml

Also Pattern Recognition and Machine Learning book by Chrisophe Bishop (eng) is available by http://www.hua.edu.vn/khoa/fita/wp-content/uploads/2013/08/Pattern-Recognition-and-Machine-Learning-Christophe-M-Bishop.pdf

Quant Bookshelf

A good resource with a list of readings for those who are interested in better understanding quants to speak the same language at least! ;)
http://www.quantstart.com/

Quantitative Finance Videos

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.