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Derivatives Pricing Software News One of our partners, MG Soft has put together a free exotic options calculator which prices a variety of options under Monte Carlo - including the Greeks. The calculator allows arbitrary monitoring dates and it is pretty fast. To download the calculator, please click this link
Masters Program News Cornell Financial Engineering program has expanded by establishing Cornell Financial Engineering Manhattan. CFEM is an academic center that serves as a bridge between the FE program in Ithaca and Wall Street community. Starting with the currently enrolled class, Master-level students will spend the third semester of the program at CFEM. Student teams will be based in New York to work on the industry-sponsored Financial Engineering project as well as to complete their course work and participate in the career development programs specifically designed for Wall Street careers. For more information, click on the following link
New Working Paper A recent paper published on GARP by Igor Postelnik takes a look at chess in the context of risk management. Drawing from chess strategy, psychological response and game theory, the paper is an interesting read for practitioners and chess players alike. The paper can be downloaded here.
Masters Program News We thought is was worthwhile pointing out that UCLA has a new Masters in Financial Engineering program starting in Fall of this year. Notable faculty includes Francis Longstaff, Robert Geske, Eduardo Schwartz, Richard Roll. For more info on the program, click here.
Working Papers A recent paper on Credit Monitoring under the "C-Score" has been presented by Cheung, Chua & Meza. The paper can be found here. Andreas Andrikoupos revisits the pricing of American Options by expanding on the quadratic approximation ala Barone-Adesi & Whaley (1987). Under the boundary-optimality approach, the paper improves on the classic approximation with an additional parameter. The paper can be downloaded here. Forums Just a small heads up that the forums are still up and running here! With some nice new features and better stability than our previous forums, this will hopefully give readers of the site a better experience. So do feel free to post your comments, questions, rants and whatever else is in your mind in the forums. The same login for the main site can also be used for the forums. Spreadsheets Policy With the number of visitors to our site steadily rising, our bandwidth usage and webhosting costs have also risen. Because of this, we have made an adjustment to our spreadsheet policy which we hope most of you will understand. We will still offer free unprotected spreadsheets for anyone who requests them, up to a maximum of three. However, beyond that, we regret that we now have to charge a small premium to cover the costs of running the website. You can find more details on our spreadsheets policy page. |
