QuantZ Media (June 2012)
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Q: your fund was in the top 3 percent in the Bloomberg database last year and recently won the Battle of the Quants. What’s the strategy, exactly?a: We’re ‘quantamental,’ which means a hybrid of quantitative-driven on the securities selection side with some macro adjustment/macro overlay, if you will.
Q: Quantamental. i like that. how does the macro overlay work?a: It’s taking our house view and combining it with a regime-switching ap-proach. Basically forecasting probabili-ties, which then drive the portfolio tilt and overall portfolio orientation. There’s a lot of moving parts.
Q: so what are your macro views then?a: We sound like a broken record in terms of our perma-bearish outlook but that’s because frankly we see either a ‘checkmate’ or a ‘stalemate.’ We don’t see any great scenarios that can come out of this massive deleveraging cycle. We’re in the camp of this being a great stagnation/deflationary bust or secular bear market.
Q: What are your big concerns? it sounds like this goes beyond greece and european sovereign debt?a: That’s right. All of the above plus of course the domestic issues: your fiscal cliff, the $46 trillion of unfunded liabilities, trying to solve the debt overhang with more debt and the possibility of a disor-derly default or disorderly decline in one of the major reserve currencies. At the end of the day, we believe that enough cans have been kicked down enough roads in enough countries that some-thing’s got to give at some point soon.
Q: Will this be a big event or more like
a slow, gradual thing?a: We’re really betting on the second order effects. Regardless of whether you have the big event or not, it’s going to be a big unwind because there’s no ways to get rid of the debt instantaneously. The real issue near term is whether Angela Merkel and Europe can take a page out of our history book from Alexander Hamilton’s experience and apply it to Eu-rope. Even if they do, it’s difficult to see how the world can magically heal itself. Because we’re still looking at a potential hard-landing scenario in China, India’s not in great shape with inflation, the Japanese have plenty of their own debt to worry about and are only 23 years into their bear market, and we’re 13 years into ours. We see the ‘lost decade’ in stocks – not the one that just happened, but the one that’s likely to come – to act like a dampened oscillator. This means that each successive episode of quantitative easing will be less and less effective. As an example, this is the third year in a row that we’ve seen a very serious déjà-vu script playing out; you get a very strong first quarter, market peaks in April or May, then you get a summer swoon. For the third year in a row we’ve been justi-fied in being cautious that once the sugar high of quantitative easing wears off, the same script plays out. What I’m saying is that at some point you’re going to have an episode of QE perceived not as a license to melt up, but as sheer despera-tion on part of the Fed.
Q: how are these views translated into your strategy exactly? how does that mechanism work?a: As I mentioned we’re more interested
in the higher order effects, namely what does that do to vol and dispersion and stock correlation and all those things. The macro stuff translates directly into the fact that in the last couple of years you’ve seen record high stock correla-tion. That makes it very difficult for a fundamental, bottom-up stock picker to outperform. The other issue is that when you’re in a sideways to downward bear market, the typical long/short process doesn’t work well. Because most long/short funds are essentially levered beta riders. They see a rally, they load up and jump on. Not to mention that with the pressure on expert networks and Reg FD it’s gotten much harder for many of these managers to do what they used to do. Plus, with the relative volume in ETFs rising dramatically, you’ve got an environment where a process-driven strategy can tweak the right levers to take advantage of these issues.
Q: isn’t there a lot of upwards/down-wards/sideways movement as we go along here?a: Exactly. In general, one should expect much higher volatility and correlation in these bear market cycles. That’s some-thing a quant process can take advantage of. We for instance are always implicitly long vol/long dispersion. But we can choose to be long correlation/short cor-relation by tweaking our ratio bets on idiosyncratic versus common factor risk.
Q: i think you just lost me.a: It’s very difficult for fundamental man-agers to even measure their idiosyncratic versus common factor levels, much less take advantage of that.
milind sharma, CEO of New York-based QuantZ capital management ltd., spoke to Bloomberg’s Nathaniel Baker about his views on the global macro picture and how these are incorporated into his hedge fund’s strategy.
QuantZ capital’s milind sharma on applying a ‘macro Overlay’ to Quantitative investing
college/university/grad school(s): Oxford, Vassar, Carnegie Mellon, Wharton
Professional Background: MLIM, ran proprietary stat arb portfolios at RBC
and Deutsche Bank AG, the latter under Boaz Weinstein.
mentors: Boaz Weinstein; Bob Doll, vice chairman of BlackRock.
charitable work: Ti Kay Haiti (www.tikayhaiti.org)
06.19.12 www.bloombergbriefs.com Bloomberg Brief | Hedge Funds 12
This document is being provided for the exclusive use of <[email protected]>
“QuantZ - Winner of the Best Quant fund award at the Battle of the Quants 2012”
Published on FINalternatives (http://www.finalternatives.com)
QuantZ Adds 3.9% In Oct., Up 16.45% YTD
Nov 10 2011 | 9:58am ET
QuantZ Capital Management hasn’t lost a step this year as it pushes towards 2012 up by double-digits.
While many of its peers have suffered some nauseating ups-and-downs over the past several months, QuantZ's Quark Equity Market Neutral Fund has been a paragon of consistency, rising 2.46% in August, 2.5% in September and 3.91% in October, leaving the fund up 16.45% on the year.
"We have reason to believe that, regardless of any year-end seasonal relief rallies, most traditional and hedge fund strategies are likely to disappoint in the decade to come," QuantZ wrote, citing continuing troubles in Europe and the U.S. deadlock on deficit reduction. And, citing several recent studies showing that women make better risk managers, the firm unveiled a new motto, of sorts: "No cowboy acts. Trade like a girl."
QuantZ has had only two down months all year, January and July.
Source URL: http://www.finalternatives.com/node/18704
Published on FINalternatives (http://www.finalternatives.com)
JAT, Citadel, QuantZ Among Top Hedge Funds In '11
Oct 5 2011 | 1:05pm ET
A pair of prominent hedge funds are among the best-performers of the year with just three months to go in 2011.
JAT Capital Management and Citadel Invest Group are both up by double-digits this year, according to published reports. The former may be the best of all, having returned 37.4% through Sept. 23.
JAT, which has recently closed its fund to new investors, was up 1.8% with a week to go in September.
Citadel had more modest monthly and year-to-date returns, but impressive nonetheless. The Chicago hedge fund giant's flagship Kensington and Wellington funds rose 0.25% last month, buoyed by their global equities strategy, which rose 2.35% on the month. The two funds are now up 15.1% on the year, Institutional Investor reports.
Also up double-digits this year is QuantZ Capital Management's Quark Equity Market Neutral Fund, which rose 2.5% in September and is up 11.85%.
Others were not so lucky: Greenlight Capital added 0.2% on the month. But neither that gain—nor the fact that Greenlight was up, marginally, in the third quarter—can distract from the firm's 5.1% year-to-date loss.
Source URL: http://www.finalternatives.com/node/18293
Goldman to Close Global Alpha Fund After LossesGOLDMAN SACHS FUNDS STOCK MARKETS EQUITIES FINANCIAL CRISIS RECESSION SAFE HAVENS INVESTORS BANKINGCNBC.com | 16 Sep 2011 | 03:21 AM ET
Goldman Sachs Group is shuttering a well-known hedge fund that relies on computer-driven trading strategies after the portfolio rang up a hefty loss this year.
Goldman told investors in the roughly $1.6 billion Global Alpha fund the news on Thursday, one day after it announced a management shake-up at the fund that had been the crown jewel of its quantitative trading business.
The fund will be closed in the next few weeks.
Global Alpha had tumbled 13 percent by early September, delivering a far worse performance than other hedge funds that rely on computer programs to quickly take advantage of opportunities in the market, people familiar with the number said.
These types of funds are supposed to move quickly in and out of stocks, bonds, currencies and other assets and exit positions before losses accrue.
This is the second time in four years the Global Alpha fund — once one of Goldman's biggest with $12 billion in assets — has suffered big losses and its performance raises questions about the ability of Goldman Sachs to manage quantitative strategies for its wealthy clients.
In fact, people familiar with Goldman Sachs have said the company's decision to liquidate Global Alpha signals its decision to exit quantitative hedge fund strategies altogether.
The firm still manages billions in quantitative mutual funds. Goldman Sachs declined to comment.
Even though Goldman's Global Alpha fund is in the red, most other other quantitative hedge funds are up or are flat for the year.
The average quant fund is down less than 1 percent over that period, according to performance tracking service Hedge Fund Research Inc.
Mark Carhart, the man who managed the Global Alpha fund with Raymond Iwanowski for more than a decade until 2009, has gained 7 percent net of fees this year at his new hedge fund Kepos Capital, a person familiar with his numbers said.
The new turmoil at Global Alpha comes almost four years to the day after the fund lost 22.5 percent in August 2007, during the early days of the financial crisis.
Those losses prompted investors to pull money out.
Even though the fund's performance steadied with a 4 percent gain in 2008 and raced ahead with a 30 percent increase in 2009, assets never recovered.
By the time Carhart and Iwanowski left in 2009, the fund had shrunk to $4 billion from its $12 billion peak.
Soon after the pair retired, assets shriveled further to about $2 billion. The fund neither gained nor lost money last year, delivering a zero return. The quantitative group has been beset by departures for some time.
More than two dozen left this year alone, people familiar with the numbers said.
On Wednesday, Goldman Sachs Asset Management sent a letter to Global Alpha investors notifying them that Katinka Domotorffy, the head of the group's quantitative investment strategies, would retire at year's end.
The letter, a copy of which was obtained by Reuters, did not discuss the poor performance of the Global Alpha fund.
Deja Vu Again
What may have hit the Goldman fund especially hard were the unexpected stock market sell offs in early August and recent currency market fluctuations in the wake of the Swiss National Bank's decision to halt the rise of the Swiss franc, people familiar with the fund's models said.
Andrew Schneider, president and CEO of Global Hedge Fund Advisors, said the first half of September has been brutal for some large hedge funds, due to unpredictable moves in market direction.
"The volatility has been so high; if you're wrong, especially if you're using margin or leverage, your returns are going to be extremely poor," said Schneider.
Other quantitative hedge funds, however, fared better.
James Simons' Renaissance Technologies' Renaissance Institutional Equities fund has gained more than 25 percent this year, said a person familiar with the fund run by the math professor turned hedge fund manager.
Another quant fund, QuantZ Capital Management, for instance, is up 12.8 percent through Sept. 6, according to a letter sent to investors.
© 2011 CNBC.com
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Hedge Funds Funds of Funds S&P 500 2-Year Treasuries
2010 total returns
2011 YTD total returns
*from Feb. 26, 2010
(Merrill Lynch Total Return Index)
hedge fund returnsBloomberg BAIF indices, which represent all funds tracked by Bloomberg data, are the source of the below hedge fund and fund of funds data.
REtuRnS In BRIEF
StRAtEgy 2010 SEPtEMBER 2011 2011 yEAR-tO-dAtE
mortgage-Backed arbitrage 24.6 -0.2 13.0
equity statistical arbitrage 3.4 0.6 7.3
Fixed income arbitrage 3.7 0.6 3.7
short-Biased equities 7.2 3.2 3.4
emerging market debt 13.3 -1.1 2.8
Capital structure arbitrage 2.1 -1.3 2.8
directional Fixed-income 5.3 -0.4 2.7
Convertible arbitrage 2.7 -0.2 2.5
market-Neutral 5.5 -1.7 2.0
multi-strategy 4.0 -0.8 1.9
long/short equities 5.8 -3.4 1.8
merger arbitrage 3.7 -1.7 0.8
Cta/managed Futures 1.7 0.3 -0.6
Global macro 4.4 -0.5 -0.9
distressed securities 12.0 -3.1 -1.4
long-Biased equities 5.3 -3.5 -6.1
Source: Bloomberg Hedge Fund IndicesType HFND<GO> to view return statistics
REtuRnS By StRAtEgy
fortress investment group llC ■ ’s Commodities Fund LP was down 5 basis points in September, according to a letter to investors obtained by Bloomberg. “Gains were made primarily in short metals and energy positions, offset by losses incurred in our long gold and corn positions,” william Callanan, the fund’s chief investment officer, wrote in the letter.
tiburon holdings llC ■ , the New York-based event-driven fund that has $50 mil-lion in assets, has gained 4 percent this year, according to a person familiar with the matter. The fund is run by peter lupoff, a former portfolio manager at millennium partners lp. Tiburon started in November 2009.
mast Capital management llC ■ ’s Credit Opportunities I fund returned 1.7 per-cent in September, its fifth straight month of positive returns, to bring year-to-date performance to 6.64 percent, according to a letter to investors that was obtained by Bloomberg. Gains in the fund’s long CDS book, “as well as both special situation single name bond and equity shorts,” drove gains, the letter said. The fund is man-aged by david steinberg.
Quantz Capital management ■ ’s Quark Equity Market Neutral Fund gained 4.7 per-cent through Oct. 17, bringing year-to-date returns to 17 percent, according to a letter to investors, a copy of which was obtained by Bloomberg. The New York-based fund is managed by milind sharma.
—Compiled by Kelly Bit and Nathaniel E. Baker
For this week’s Performance Snapshot, featuring distressed hedge funds, see page 10.
10.25.11 hEdgE Funds | Bloomberg Brief 2
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Subject: FW: MathFinance Newsletter w photo
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Newsletter | 15 Nov 2011 | Issue 263
In this issue
§ Company News
§ Upcoming Events
Interview with Milind Sharma, CEO, QuantZ Capital Management
Mr. Sharma is Chief Executive Officer, QuantZ Capital Management. He ran the LTMN desk in Global Arbitrage & Trading at RBC where he served as Portfolio Manager for Quant EMN. In his capacity as Director & Senior Proprietary Trader at Deutsche, he managed Quant EMN portfolios of significant size & contributed to the broader prop mandate in Cap Structure Arb & with LBOs. Prior to that he was co-founder of Quant Strategies (previously R&P) at BlackRock (MLIM). Prior to MLIM, he was Manager of the Risk Analytics and Research Group at Ernst & Young LLP where he was co-architect of Raven (one of the earliest derivatives pricing/ validation engines) & co-created the 1st model for pricing cross-currency puttable Bermudan swaptions. Amongst the first to receive a degree in Financial Engineering from the pioneering MSCF program at Tepper (Carnegie Mellon), Mr. Sharma has a dual MS in Applied Math from CMU where he was also in the PhD program. His publications have appeared in the Journal of Investment Management, Risk, Wiley, HedgeQuest, World Scientific, Elsevier etc. and he is a frequent speaker at conferences.
Milind, you are an experienced fund manager with a quantitative background, where do you see the current trends in the investment industry in NY?
Clearly the investment industry is witnessing a radically new paradigm driven by tectonic shifts which need to be acknowledged first before they can be effectively dealt with:
1. De-bunking the “stocks for the long run” thesis & its “buy & hold” corollary which have turned out to be disastrous in recent years is critical in light of the fact that the S&P500 has gone nowhere fast for some 13 years now. For perspective, it took 25 years for the S&P to reclaim the Sept 1929 highs. Japan aside, there are a number of countries where Beta one i.e. long only investing has been a fool’s game. Given the post-WWII period of prosperity (of which the US was the prime beneficiary), this inductive fallacy tantamount to stocks having the God given birth-right to go up in the long run became the accepted wisdom. Even after a lost decade & faced with potentially another lost decade
in Equities the investment industry remains utterly paralyzed in terms of dealing with the grim new reality. The simple reason for this seemingly inexplicable paralysis is that the vast majority of professional investors, allocators & retail individuals grew up wired inherently “long biased”. Shorting stocks/ hedging is rather more difficult & requires much greater quantitative wherewithal than most participants of the eco-system have had at their disposal, not to mention that it pre-supposes a re-wiring of the industry mind-space.
2. Alpha vs. Beta & closet Levered Long Beta riders: Coming out of denial about the fallibility of “stocks for the long run” thesis allows us to abandon the Beta one default position with respect to various asset classes. The housing market collapse of recent years has shown that even the American dream of home ownership was not immune to the forces of financial gravity. Inflation adjusted Real Estate has in fact been a lousy long term investment in the developed world contrary to popular misconceptions. The archetypal “hedge” fund of Alfred Jones was supposed to be “hedged”. Sadly, most long-short Equity managers fail miserably in Bear markets because of their inability to monetize alpha on the short side since most are far from hedged. The data shows that LS Equity HF managers are mostly “closet” Long-biased Beta chasers (analogous to their “closet” index hugging Mutual Fund brethren) who tend to lever up long when they sense a rally coming. Given the scant evidence in support of market timing prowess, it appears that many fundamental managers have simply granted themselves the license to gamble. This often results in stomach-churning drawdowns which cannot be justified based on any sensible risk framework. Needless to say, when the VIX remains elevated for a period of time (2008 & 2011 to wit) with sideways to downwards churn, this approach fails. Allocators can choose to be more discerning & refuse to pay 2 & 20 for mere Beta access (which should only cost 5 to 10 bps given the availability of index ETFs). After all, even cab drivers have great stock tips to offer during raging bull markets. It is only when the tide goes out that we get to know who is swimming naked.
3. Regulatory hurdles to putative fundamental alpha: By now we all know that US regulators have done a mighty fine job of prosecuting the insider trading cabals of Galleon & SAC alumni. More important for investors to take note of is the prosecution of expert networks & the fundamental Long-Short clientele who were heavily reliant upon such “expertise”. Noah Freeman’s (SAC alum) damning testimony regarding the use of expert networks should put a chill on supposedly standard industry practices amongst fundamental managers. In light of that, one can’t help but notice the interestingly coincidental timing of SAC’s Quant fund launch. The better known fundamental stock pickers now aspire to be Quants? The changing landscape for fundamental Long-Short based on recent developments is reminiscent of what transpired post Reg-FD which brought an end to the incestuous peddling of information between management & the Street.
4. High Frequency Trading: HFT & the onslaught of algorithmic trading has dramatically reshaped the equity landscape. The manifold compression of bid/ ask spreads, reduction of commissions almost to zero & increased liquidity are all
unadulterated positives for both the retail & institutional investor alike & have greatly enhanced market efficiency. Alas, the media spin on these remarkably positive developments has been remarkably negative for the simple reason that most of the talking heads on TV are the old timers who either don’t get it, are too innumerate to get it or belong to the disgruntled masses dis-intermediated by the onslaught of algorithmic trading. Let’s not forget that the much revered “specialist” in the old system in fact turned out to be the ultimate frontrunner (by virtue of being the human backstop with access to the order book). Despite the indictment & successful conviction of NYSE specialist firms, we continue to hear buyside managers reminisce blissfully as to how great the old system was (back when they paid obscenely large commissions as opposed to the putative evils of HFT). Alas, the industry remains woefully in denial about the paradigm shifts in the making.
How important are Quants and who uses quantitative models? Do we still need quants in the financial industry?
In the 15+ years since Quant Finance programs, such as the pioneering one at Carnegie Mellon started cranking out financial engineers, Quants have become entirely indispensable to the Wall St eco-system. The simple math of fixed income instruments has evolved into the much more complex credit models of today which attempt to more realistically model the dynamics of the relevant stochastic variables. Equity trading on the sellside has been completely transformed due to HFT & algorithmic trading as previously noted. Risk measurement & management based on complex quant models has now become the de facto standard. Perhaps the most dramatic changes underway are on the buyside, where old fashioned fundamental security selection is being rapidly replaced by quant model/ process driven security selection & optimization based portfolio construction in order to minimize drawdowns & enhance risk-adjusted returns. Hedge funds in particular, due to the use of dynamic leverage, dynamic position sizing & time varying beta were early adopters of Quant as an “edge”. The growing complexity of markets as dynamical systems (often on the edge of chaos of late) & the rapid proliferation of voluminous financial data means that many traders will have no choice but to evolve into systems architects who use discretion to manipulate model parameters instead of trying to manually deal with the incessant information overload. The others will have to become more proficient at leveraging Quant screens in order to keep from drowning in the sea of data. Technology as an enabler means that the great insights of Buffett & Benjamin Graham can be rather trivially plugged into a Yahoo Finance screen online by a 10th grader with modest effort. On the other hand, the wide dissemination of such information also chips away at remaining investment opportunities. While traditional stock investing techniques have found slim pickings in recent years with exacerbated risks & outsized drawdowns, even some Quants who got complacent have had to throw in the towel (note the recent closure of Goldman’s Global Alpha fund). Factor foresight & nimbleness in terms of judicious tweaking of model parameters to anticipate shifting regimes along with the copious use of common sense remain a virtue. There is validity to the criticism of over-reliance on blackbox strategies back-tested on yesterday’s data & the last
crisis. That said, any well constructed systematic process is still far more rigorous & transparent than what might transpire inside a trader’s head which is the ultimate (& ultimately capricious) blackbox. GIGO (garbage in garbage out) checks are as important in modeling as they are for real life cognitive biases. Much can be said for the hybrid approach.
With the financial debt crisis in mind, where would you invest?
Challenging markets like 2008 & 2011 showcase the benefits of rigorous risk controls & have demonstrably shown that the careful portfolio construction/ optimization inherent to Quant portfolios pays off when the VIX stays elevated over 30 while traditional deep value investors of the “doubling down” kind tend to get somewhat battered & bruised. It is noteworthy that the pension fund behemoths like Calpers are now increasing their allocation to alternatives while being "underweight" directional equities after having compounded only 3.41% in the past five years (woefully short of their 7.75% bogey). Joe Dear (Calpers CIO), noted that with “low interest rates and a relatively small equity risk premium you have a hard time getting that 7.75”. Call it Ken Rogoff’s “Second Great Contraction” or Roubini’s “Great Depression 2.0”, either way, it sure seems we are in the midst of something far more ominous than a garden variety recession. Should the base case for Europe ought to be rolling recessions or a depression as the currency bloc unravels? How many European banks will fail by the time all is said & done? What are the chances that the European crisis can be contained in this age of global inter-dependence? What’s going to prop up US equities now that Fed appears to be out of ammunition & politicians are equating QE with treason? We repeatedly harped on all of these issues throughout the Fed-orchestrated contrived QE2 melt-up in Equities. Clearly, at this point enough cans have been kicked down enough roads in enough countries that one would think something has to give. Disorderly default/ restructuring remains a significant risk with the subsequent unraveling of the Euro. The bond market may yet enforce the truth this time around. A default is a default regardless of the political euphemism of the day not to mention the inevitable sovereign downgrades across the globe as we work our way through this massive de-leveraging cycle. The renewed domestic bi-partisan bickering as the Super-committee deadline approaches in the US is no more reassuring. Given the macro headwinds & the fact that the world is unlikely to magically heal itself anytime soon – we have to believe that regardless of any year end seasonal relief rallies, most traditional (mutual fund) & HF strategies are likely to disappoint in the decade to come. A recent Bank of America Merrill Lynch study noted that HF's correlation with directional equities hit an all-time high in September which means that the vast majority of HFs continue to offer less alpha than beta. Meantime, average pair-wise stock correlations being at historically high levels creates a challenging environment for stock pickers (quant and fundamental alike). CTAs & Market Neutral funds e.g., Statistical or Vol Arbitrage strategies have historically flourished in such volatile environments. Not surprisingly, a new breed of Black Swan funds have emerged. These “tail risk” funds usually load up on OTM options in anticipation of exogenous shocks. However, they usually continue to bleed theta till the Black Swan materializes. Arbitrage strategies embodied by EMN funds typically do not display this problematic trait since they are inherently long vol without the theta bleed. One can safely conjecture that the marginal dollar ought to rotate out of directional
strategies towards better Sharpe ratios in non-directional strategies like EMN/ Statistical Arbitrage which can still thrive in a world where the positive slope of the security market line can no longer be taken for granted (hence the assumed positive drift term for the stochastic process being modelled).
What do you think about the occupy movement?
For those of us who actually work in the immediate vicinity of Wall St, the OWS protests have been significantly disruptive. At first, it was difficult to take this amorphous expression of discontent seriously given that the protests did not have a clear agenda or a coherent, well-articulated message. However, the cognoscenti in the form of the Stiglitz’s, Krugman’s & the Jeffrey Sachs’ have taken it upon themselves to articulate their message & lend the movement much credibility. The message has been transmogrified into one representing the "screwflation" of the 99% (to borrow from Doug Kass). This social unrest is symptomatic of the structural unemployment, a moribund housing industry, the mortgage mess, the lingering effects of the credit bubble & most importantly it is a backlash against the income disparities that came about from capitalistic excesses of recent decades. How we work towards a self-sustaining economic recovery to address these issues will depend in large part upon enlightened policy initiatives that get us to escape velocity. However, this is easier said than done. After all, the Keynes versus Hayek debate rages on a century later.
Thank you for your insights, Milind, we hope to speak again soon. Uwe Wystup
Managing Director of MathFinance
Business Analyst (m/w) Risikomanagement - Quantitativer Fokus, Deloitte, Düsseldorf, Frankfurt, München
Für unser Team an den Standorten Düsseldorf, Frankfurt und München suchen wir engagierte Verstärkung.
Ihre Aufgaben Im Spannungsfeld von Mathematik und regulatorischen Anforderungen erarbeiten Sie für unsere Mandanten betriebswirtschaftliche Lösungen unter Einsatz von finanzmathematischen Modellen. Sie verstärken unser Quant-Team, das für quantitative Fragestellungen im Kontext betriebswirtschaftlicher, aufsichtsrechtlicher und
MathFinance (Asia) presents its Independent Model Validation Services
Charles Brown and Uwe Wystup, the directors of MathFinance (Asia) spent the first week of November to present their independent model validation services in Tokyo, Singapore and Sydney. In particular, we have validated to pricing of Murex’ Local-Stochastic-Volatility (LSV) model(See pdf!).
The FX Options market has taken a clear trend to LSV models in last few years. While top tier banks have developed their own versions of LSV, Murex is the first software vendor to provide an LSV model working on the portfolio level in their risk management system. The MathFinance team has implemented the pricing tool for first generation exotics on its own systems and generated automated pricing verification using both Monte Carlo and a PDE based approach. For example, the graph below shows the differences between Murex and MathFinance prices for a large set of touch