Author Profile

Andreas Grau

Andreas Grau is a passionate financial engineer with the drive to improve the tools for complex economic or financial models. Therefore, he coinvented the methodology Computer Aided Finance, the Monte Carlo Simulation Tool Theta Suite and the MS Excel Speed-up tool Theta Proxy.

Recent Posts

Speed-up of MATLAB: Just-in-time compiler JIT

Sometimes, MATLAB seems to be slow and inefficient. MATLAB is great for prototyping and interactive analysis, but sometimes execution speed is crucial. The MathWorks proposes to vectorized your code. Recently, I found that this is not always the best solution for higher speed. A better solution comes from the sparsely documented JIT Compiler which was already introduced […]

25 Years German DAX: A success story?

On July 1st, 1988 German DAX was published. It was not only an index of the German stock market: It introduced a new methodology computing a stock market index. The German DAX was the first popular index to include weights according to market capitalization and calculating returns including dividends. Now, after 25 years it is […]

Historical performance lies! Beware of survivor bias.

Often you find studies how well a specific fund or trading strategy has performed. You must be aware of the fact that basically all studies based on historical data lie – or at least do not tell the full story. There are two highly underestimated effects: Survivor bias and fat tails. Both effects make poor […]

Financial Modelling (with Matlab Source): A great new book

Book Cover

Joerg Kienitz and Daniel Wetterau present “Financial Modelling: Theory, Implementation and Practice with MATLAB Source”, a great resource on state-of-the-art models in financial mathematics. The authors try to bridge the gap between current research topics and an implementation which can be applied in the real world. That means the authors are neither afraid of practical […]

Merry Christmas! And a happy new Year! Cats singing silent night….

Cat from Djingle cats video

Thank you all for the great feedback this year. Next year will be interesting with lots of new technology and more finance focus. I always hear that cats work best in the internet. So, here is a great cats Christmas song: Merry Christmas! And a happy new year! Andreas

GPU Computing News: Jacket is aquired by The MathWorks

Graphics Card

After benchmarking the GPU performance of Accelereyes Jacket and Matlab PCT, I found that Jacket pushes the limit to best performance much harder than PCT. Now, according to the Accelereyes Blog, The MathWorks took over Jacket. New Jacket licenses are not available any more. Consequently, for a moment, the only available options left for GPU […]

Early Exercise: Curse or Blessing

Many financial contracts come with the right of exercising a right prematurely. Such early exercise rights are a clear advantage for the option holder. But, these rights create optimal stopping problems for the contract parties. Is this really an advantage? In the following, I will show you a little example from my last shopping trip and […]

Post Crisis Financial Modelling – What changes?

I recently stumbled upon an interesting book about post-crisis interest-rate modelling. Besides future changes in the LIBOR and possible EURIBOR fixing after the manipulations of the past few years, counter-party default and collateral become important. Changes in Interest-Rate and Credit Instrument Pricing Pre-crisis, there was a risk-free rate on which the market agreed. This way, different […]