The most dominating factor in the long run for the economy is climate change. If we do not take radical action, in 30 years, the world will lose about half a trillion US$ per year due to climate change ($479 billion). By then 150 million people have to leave their home due to sea level […]
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 […]
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
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 […]
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 […]
Finally, after at least 13 years of slow GUI evolution from MATLAB 5, The MathWorks decides to break with the past and offer a graphical revolution for MATLAB 8. MATLAB 8 – R2012b comes with a fresh ribbon style GUI known from MS Office. Another interesting change is the publishing of so-called Apps. After Apple and […]
Being member of the MSDN, I just installed and tested the new Windows 8, Office 2013 and Visual Studio 2012. The step in MS Windows evolution is actually quite big and in the following, you find my first impression.
In the last decade, gold constantly rose in value. In this post, we will use public data to look into the value relationship of gold and money. Value of gold measured in different currencies Gold is definitely one of the oldest currencies. Until 1971, USD and gold were essentially the same using a fixed conversion rate. […]
The Cost of Redundancy Expensive resources spent on computer grids are often wasted. An example from the financial industry teaches how repeated and redundant calculations can eat up all the computing power. Theta Proxy, a simple and yet generic solution, has the potential to save millions in server costs. Nowadays much of the computation time […]
Under the current stress of the financial crisis, governments all over Europe discuss the introduction of a transaction tax for financial instruments. Especially, the German and French government propose a 0.1% tax on every equity trade and 0.01% tax on derivative instruments. This does not sound large, but what would happen to guarantees of life insurances, e.g. […]
Computer Aided Finance - Excel, Matlab, Theta Suite etc. 