ARTNews
Dec 01
In this edition - Dec 22/01: new offerings on the ARTWeb
Highlights
New - Chaos and Predictability
in Finance, a new (free) series of ARTicles providing a "lucid"
introduction to non-linear dynamical methods for traders and risk managers.
New - ARTSchool
Spring/Summer '02 schedule - seminars for market professional focusing on real world P&L and risk
New Research / Consulting results coming for "real world" risk/return performance of
structured CBs, and term-structure models
Get FREE research via our
ARTicles, available in downloadable PDF format
Get FREE Software -
Pr/rOFREE v1.0, as well as many calculators illustrating valuation and risk
...
and more
Coming
soon :
Model Arbitrage:
Risk/P&L for Holding Period Strategies with fractal-adjusted Options
Methods.
Holding period P&L and risk/return performance of structured CBs, including credit risk "immunization" impact, options on CBs etc.
Analysis and comparison of risk/return of term-structure models and strategies during various (real) market conditions
As well as many other topics including:
Interest
Rate / Funding Rate Forecasting
Investment
/ Strategy Performance using Mean-Variance Optimisation
P&L
Optimal Term-structure Models
Performance,
policy, and implementation of VaR
Passport,
Managed Funds, and Real Options
P&L
Optimised (Options) Rebalance Strategies
... and more
Free research including FREE downloadable
software, with many ARTicles
on valuation, risk management, portfolio management. All ARTicles
are now provided in PDF format requiring Adobe Acrobat Reader ® v 5.0 freely
available at http://www.adobe.com/acrobat
.
New ARTicles:
ARTicle: Chaos and Predictability in Finance - Part 1: Are
markets random?
ARTicle: Chaos and Predictability in Finance - Part 2:
Periodicity and Aperiodicity.
ARTicle: Chaos and Predictability in Finance - Part 3:
Fractals and Options Trading.
As well as many other topics including:
An Efficient Frontier Primer
Term Structure Calibration: Nonsense & Reality
An (abridged) VaR Primer
A Finite Difference Primer - Part 1
How much to pay a trader
An Asset Swap Primer
.... and many more.
Pr/rO-FREE
v 1.0 Released June 20/01
A FREE software package has been
added to the ARTWeb.
Pr/rO-FREE
is a collection of simple "calculators" to support ARTicles
and ARTSchool
seminars. The software is intended to be for EDUCATIONAL purpose and is
necessarily an oversimplification of the real world. The first two calculators
(both
of which are described in the seminar A
Trader's Guide to Portfolio Risk/Return Optimisation ) are:
OPTIC: A very simple (exotic)
Options Portfolio Trade Idea Comparison calculator that also illustrates basic
risk/return issues.
QEF: A very simple
mean-variance portfolio allocation optimiser intended to illustrate the
salient features of Efficient Frontier and Securities Market Line
analysis. You may find the related ARTicles:
An Efficient Frontier Primer , and
Optimisation
and P&L - Part 1 interesting reading as well.
Upcoming Public Seminars - seminars for market professional are listed in the
Autumn/Winter '01 schedule below, but please be sure to enquire also about the
special benefits of customized in-house seminars.
Public and in-house seminars for professionals by professionals are
listed at Current
Scheduled Seminars with a total of 29 public titles at Info
Request for all of Seminars all presented by former or current heads of
trading, risk management, and quant groups. Plus
our tailored in-house programmes designed for your trading, systems, clients and
focused on real world P&L and risk.
Electronic
Sign-up page
Special
Offers page - early booking and volume discounts
Terms
& Conditions
Testimonials
Sample
Slides
Spring/Summer '02 ARTSchool Schedule
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