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Krakow Quant Hub Seminar 26.02.2019
dodano: 21/02/2019
przez: Dariusz Zawisza
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- Speaker: Tadeusz Czernik (HSBC, Independent Model Review)
- Title : Fourier transform technique applied to derivative pricing
- Time: February the 26h, 6.15 p.m. (start with coffee at 5:30 p.m. in 1122)
- Place: Department of Mathematics and Computer Science, ul. Łojasiewicza 6, Lecture Room 1094 (first floor)
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Krakow Quant Hub Seminar – 29.01.2019
dodano: 22/01/2019
przez: Dariusz Zawisza
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- Speaker: Fabio Marelli (HSBC, Independent Model Review)
- Title : A trip through XVAs
- Time: January the 29th, 6.15 p.m. start with coffee at 5:30 p.m. in 1122)
- Place: Department of Mathematics and Computer Science, ul. Łojasiewicza 6, Lecture Room 1093 (first floor)
- Abstract:
We introduce the three main valuation adjustment – CVA, DVA, and FVA – applied to the risk-free price of a derivative to account for counterparty risk and funding needs. Their mathematical formulation is introduced, together with practical modelling challanges and market practices used to mitigate their impact on derivative portfolios. We discuss some controversial effects of these adjustments and we look at them from an accounting and regulatory perspective. We conclude with a snapshot of the current US derivative market.
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Krakow Quant Hub Seminar 27.11.2018
dodano: 20/11/2018
przez: Dariusz Zawisza
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- Speaker: Damian Jelito (Institute of Mathematics, Jagiellonian University)
- Title : New normality test based on the conditional second moments and the 20-60-20 rule.
- Time: November the 27th, 6 p.m.(note that at Jagiellonian this means „quarter past six”, start with coffee at 5:30 p.m. in 1122)
- Place: Department of Mathematics and Computer Science, ul. Łojasiewicza 6, Lecture Room 1093 (first floor)
- Abstract:
We introduce a new test of normality based on the so-called 20-60-20 rule. In a nutshell, the rule states that the conditional variances of normally distributed random variable are equal, when the conditioning is based on the 20-60-20 ratio. The new test has a clear financial interpretation and can be used to assess the impact of fat-tails on central data normality assumption. Using financial data we compared the new test with some well-known tools and obtained interesting results. We also derived asymptotic distribution of the test statistic. The talk is based on a joint work with Marcin Pitera.
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