Tag Archives: Paul Wilmott

Paul Wilmott: Principles and Tools of Quant

Paul Wilmott, Principles and Tools of Quant

From the CQF, note that I would use the logo but their lawyers would send more letters of ceast and desist to me

Dr. Paul Wilmott, Principles and Tools of Quantitative Finance

In this 30-minute video, Dr. Paul Wilmott provides an overview of asset allocation, covering:

 

  • Risk and Return
  • Modern Portfolio Theory
  • Capital Asset Pricing Model
  • Arbitrage Pricing Theory

 

http://www.cqfmedia.com/videos/prmny1ju15-form.html

(thanks to the NYC Contact for sending)

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

CQF Info Session with Paul Wilmott and Alumni Videos

Access the Final Recorded Information Session with Dr Paul Wilmott to find out more about the CQF course syllabus, teaching methodology and lecturers.

Click Here to request a link to the latest recording.

Alumni Profiles
Access Alumni Profiles online to find out more from our past delegates about how the CQF can benefit you.

Go to www.cqf.com or contact us at info@cqf.com should you have any questions.

The CQF Team

Delegate Profile – Richard Bayley

Previous Qualifications:
PhD Pure Maths, University of London, Queen Mary and Westfield College. Master of Mathematics, Leicester University.

Current Position:
Technical Analyst, Collins Stewart

”What drew me to the CQF was the idea of applying maths directly to finance, the course is very practical. Also what’s attractive about the program, is the way the lectures are structured, they give you a good introduction into how finance and mathematics can be used together to hopefully help you develop your career.”

Once you have done the course, that is not the end – you are always a member of the CQF”

For more Alumni Profiles click here.

Delegate Profile – Eleanna Skouta

Previous Qualifications:
BSc Honours Computer Science with Artificial Intelligence, City University, London

Current Position:
Confidential

”The CQF program was a very efficient way to expand my knowledge on Quantitative Finance, while working in parallel. It has enabled me to transition from a Computer Science with Artificial Intelligence background into a Quantitative Financial Engineer. In a matter of six months they covered a broad range of topics in derivatives, with in-depth theory but driven by practice. We implemented the models we learnt in theory using Excel. We also tested our knowledge on option pricing and hedging using a trading simulator where we traded against colleagues and other AI traders.”

For more Alumni Profiles click here.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Quant/Risk/Trading/Algo/Modeling pay survey, Yann Ticot in London, Matlab Computational Finance, Daniel Duffy in London, GPUs, Attilio Meucci and Paul Wilmott

  • Quant/Risk/Trading/Algo/Modeling pay survey, Yann Ticot in London, Matlab Computational Finance, Daniel Duffy in London, GPUs, Attilio Meucci and Paul Wilmott in New York and Mathematica over Europe.

It’s ironic that currently those who do numbers for banks have such poor quality numbers to work out whether they are getting the market rate..
Since the Quant group now has a high % of people in these areas we are doing an anonymous pay survey receiving 3,500 responses so far, which already makes it the most thorough research ever done in the Quant field, as well as providing averaging anonnymity to contributors.

http://svy.mk/letqkA

It’s completely confidential because we use a 3rd party SurveyMonkey to collect results. We don’t ask your name, and if it turns out that a given segment has too few people in it to mask the identities of those who respond we won’t publish that result.

Why should *you* bother filling this in ?
It is only 3-4 minutes, mostly just clicking boxes with easy questions in them.
We’ve had people test it just to make sure it doesn’t suck up your life with vast arrays of imponderable nonsense.
This is a field with lots of specialisations, and one factor can make a significant difference in your pay, which means if you don’t respond, the numbers for people just like you won’t be quite as good, and I hope I don’t have to make the case for having good numbers for important decisions.

I have started to publish preliminary results on Wilmott.com, and with your help we can make them better.
http://svy.mk/letqkA

Dates for Your Diary
Financial engineering workshops @ Cass

Thursday 9 June Yann Ticot (BAML) “Pricing Inflation Vanillas and Exotics”.

If you want to come, RSVP to stewart.hodges.1@city.ac.uk

MATLAB Computational Finance Virtual Conference – June 9th, 2011

Presentations from Deutsche (on HFT), Dexia (on Basel II, Credit Risk & back-testing), Banc Sabadell (on enterprise deployment of pricing & trading analytics), IMF (on economic forecasting), Bank of Canada (on Systemic Risk), Attilio Meucci (on PRAYER framework), Model IT (on Solvency II and insurance risk) and CamraData (on the threat of the Pythagorean cult)

http://matlab.my/mrBAbH

Computational Finance with Mathematica -New technologies for accelerating quantitative analytics,
bit.ly/k1imgk
Monday 6th June London
Tuesday 7th June Paris
Wednesday 14 June Zurich
Wednesday 15 June Frankfurt
Speakers
Efficient Valuation of Complex Derivatives on the GPU
Dr. Andreas Binder, MathConsult GmbH
In the pricing and risk analysis of structured financial instruments, numerical methods for valuation, as well as calibration of the model parameters, have to be implemented very carefully. The calibration often leads to optimization problems for which local algorithms do not converge. We present an efficient hybrid global/local algorithm and compare them to global optimization.
I will be at the Monday event, if anyone wants to go for a drink afterwards.

Daniel Duffy author of several major books on financial programming, is running the following workshops:

One-day Master Class: The Alternating Direction Explicit (ADE) Finite Difference Method. Fast, Unconditionally Stable, High-Order Schemes for Derivatives Pricing and Hedging (8 July, London)
http://bit.ly/fFikUq

Creating Trading and Quant Applications in C# and Excel (September 20, 21, 22 London)
http://bit.ly/dHnXPz

CQF Information Session
Thursday 2nd June New York 6.30pm Marriott Courtyard Midtown East Manhattan
http://bit.ly/iLmYh7

Your last chance to meet Paul Wilmott and learn about the content of the Certificate in quantitative Finance

Advanced Risk and Portfolio Management Bootcamp
by Attilio Meucci
August 15-20, 2011, Baruch College, New York City
http://bit.ly/jDv3nq

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

I have updated a new YouTube video interview quant documentary with Paul Wilmott

I have updated a new YouTube video interview quant documentary with Paul Wilmott

It is on the right in the video secion. It a Dutch 45 minute documentary.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Matlab financial derivative toolkit is very powerful it covers all of Paul Wilmott or John Hull quant books

Matlab financial derivative toolkit is very powerful it covers all of Paul Wilmott or John Hull quant books
Let’s get down to the nitty gritty. It is these powerful toolkit which makes Matlab really shine in its capabilities. This one toolkit does cover two areas of derivatives. This includes for interest rate based derivatives:
*

Bonds
*

Bond options (puts and calls)
*

Caps
*

Fixed-rate notes
*

Floating-rate notes
*

Floors
*

Swaps
*

Swaption
*

Callable and Puttable bonds
For equity based derivatives, you will find:
*

Asian options
*

Barrier options
*

Compound options
*

Lookback options
*

Vanilla stock options (put and call options).
This financial derivative toolkit allows some expansive portfolio creation which of course include:
*

Bond option

InstSet = instadd(‘OptBond’, BondIndex, OptSpec, Strike, ExerciseDates, AmericanOpt)

*

Arbitrary cash flow instrument

InstSet = instadd(‘CashFlow’, CFlowAmounts, CFlowDates, Settle, Basis)

*

Fixed-rate note instrument

InstSet = instadd(‘Fixed’, CouponRate, Settle, Maturity, FixedReset, Basis, Principal)

*

Floating-rate note instrument

InstSet = instadd(‘Float’, Spread, Settle, Maturity, FloatReset, Basis, Principal)

*

Cap instrument

InstSet = instadd(‘Cap’, Strike, Settle, Maturity, CapReset, Basis, Principal)

*

Floor instrument

InstSet = instadd(‘Floor’, Strike, Settle, Maturity, FloorReset, Basis, Principal)

*

Swap instrument

InstSet = instadd(‘Swap’, LegRate, Settle, Maturity, LegReset, Basis, Principal, LegType)

*

Swaption instrument

InstSet = instadd(‘Swaption’, OptSpec, Strike, ExerciseDates, Spread, …
Settle, Maturity, AmericanOpt, SwapReset, Basis, Principal)

*

Bond with embedded option instrument

InstSet = instadd(‘OptEmBond’, CouponRate, Settle, Maturity, OptSpec, Strike, …
ExerciseDates, ‘AmericanOpt’, AmericanOpt, ‘Period’, Period,’Basis’, Basis, …
‘EndMonthRule’, EndMonthRule,’Face’,Face,’IssueDate’, IssueDate, ‘FirstCouponDate’, …
FirstCouponDate, ‘LastCouponDate’, LastCouponDate,’StartDate’, StartDate)
The above includes the toolkit’s function as well. Also included are equity derivatives as well:
*

Asian instrument

InstSet = instadd(‘Asian’, OptSpec, Strike, Settle, ExerciseDates, AmericanOpt, …
AvgType, AvgPrice, AvgDate)

*

Barrier instrument

InstSet = instadd(‘Barrier’, OptSpec, Strike, Settle, ExerciseDates, AmericanOpt, …
BarrierType, Barrier, Rebate)

*

Compound instrument

InstSet = instadd(‘Compound’, UOptSpec, UStrike, USettle, UExerciseDates, UAmericanOpt, …
COptSpec, CStrike, CSettle, CExerciseDates, CAmericanOpt)

*

Lookback instrument

InstSet = instadd(‘Lookback’, OptSpec, Strike, Settle, ExerciseDates, AmericanOpt)

*

Stock option instrument

InstSet = instadd(‘OptStock’, OptSpec, Strike, Settle, Maturity, AmericanOpt)

Different instruments and their corresponding constructors are included as well:
Instrument

Constructor

Asian option

instasian

Barrier option

instbarrier

Bond

instbond

Bond option

instoptbnd

Arbitrary cash flow

instcf

Compound option

instcompound

Fixed-rate note

instfixed

Floating-rate note

instfloat

Cap

instcap

Floor

instfloor

Lookback option

instlookback

Stock option

instoptstock

Swap

instswap

Swaption

Instswaption
There is so much in this critical toolkit, it is no wonder the professional institutional traders and analysts would use it.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!