ARTNews
Dec 02
In this edition - new offerings on the ARTWeb
Highlights
New Research / Consulting
- Announcing
ARBLab 
(the Arbitrage Laboratory), a service combining ART's decades of
trading experience with possibly the most sophisticated software available to
assess holding period P&L/risk analysis of real world trading strategies:
New ARBLab
results for Model Arbitrage:
Risk/P&L for Holding Period Strategies with fractal-adjusted Options
Methods.
... and coming soon ...
New ARBLab
results for - Asset
Allocation: Bond/Equity trading strategies
New - ARTSchool
Spring/Summer '03 schedule - seminars for market professional focusing on real world P&L and risk
New
Seminar: A Trader's Guide to PDE Methods
New
Seminar: A Trader's
Guide to How to Trade (really)
New ARTicles - Chaos and Predictability
in Finance:
Part 3 of a new (free) series of ARTicles providing a "lucid"
introduction to non-linear dynamical methods for traders and risk managers is
now available in ARTicles.
New ARTicles4U:
have ARTicles written for your specific interest. ART will create and publish
from ARTicles from your wish list
Get FREE research via our
ARTicles, available in downloadable PDF format
Get FREE Software - many
FREE calculators illustrating valuation and risk
Get FREE Software - ARTSchoolCalc
is a full Windows application FREE to ARTSchool clients,
including:
OPTIC: a simple exotic and vanilla options trade idea Risk/Return
analyser
QEF: Quick Efficient Frontier calculator, for simple Mean-Variance Optimal
Portfolios
FracDim: a simple calculator for Information, Correlation, and Capacity
Dimension
FDX: a simplified Finite Difference calculator for valuation and risk
FuncU: a simplified "English language" Function Utility analysis/visualisation tool
...
and more
New
Announcing ARBLab (the
Arbitrage Laboratory), a service combining ART's decades of trading experience
with possibly the most sophisticated software available to provide holding
period P&L/risk analysis of real world trading strategies for market
makers, prop traders, structurers, and risk managers, such as:
Model Arbitrage:
Risk/P&L for Holding Period Strategies with fractal-adjusted Options
Methods.
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
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 3: Fractals and Options Trading.
ARTicles4U: submit "your
wish" for an ARTicle and ART will choose from this "wish
list" for future ARTicles.
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.
ARTSchoolCalc v 1.0 Released
Dec 29/02
ARTSchoolCalc
is a FREE full Windows software package for ARTSchool
clients. It is a collection of simple "calculators" to support
ARTSchool
seminars. The software is intended 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 and permits various assumptions about forward prices and
their probabilities - see also A
Trader's Guide to Portfolio Risk/Return Optimisation
QEF: A very simple
mean-variance portfolio allocation optimiser intended to illustrate the
salient features of Efficient Frontier and Securities Market Line analysis -
see also A
Trader's Guide to Portfolio Risk/Return Optimisation. You may find the related ARTicles:
An Efficient Frontier Primer , and
Optimisation
and P&L - Part 1 interesting reading as well.
Coming soon, ARTSchoolCalc
Version 2.0 to include also:
FracDim: A simple calculator for estimating fractal
(Information, Capacity, and Correlation) dimension. You may also wish to
see the ARTicles in
ARTicle: Chaos and Predictability in Finance
Parts 1 through 3, as well as ARBLab
results for Holding Period Analysis of Fractal adjusted options trading
FDX: A simplified version of one of ART's Finite Difference
applications permitting multiple assets to be valued and assessed for
risk. This FREE version is restricted in a number of ways, but does
permit explicit or implicit calculations with up-streaming, non-uniform grids,
non-linear factors (e.g. transactions costs), term-structure effects, etc.
For example, use FD to value a Convertible Bond with the bond component following
a term-structure model, and the equity component following a market convention
model.
FuncU: A simplified version of one of ART's
Function Utilities for the analysis of functions/formulas, permitting users to enter formulas in a natural
near "English language" format to produce data series and graphics.
For example, create data with different probability distributions, compare
options payouts with different distributions, compare Geometric Brownian
Motion to Arithmetic Brownian Motion, etc etc,
Upcoming Public Seminars - current seminars for market professional are
listed below,
and please be sure to enquire also about the
special benefits of customized in-house seminars.
New seminars
A Trader's Guide to PDE Methods
providing the trading floor with the
tools and insight for creating and using numerical methods for PDE's, such
as Finite Difference and Finite Element techniques, in real world settings
to produce fast homogenous valuation and risk results for complex
portfolios.
A Trader's
Guide to How to Trade (really)
providing a complete and
comprehensive programme for detailing examination of real world trading
from trade idea to holding period P&L/risk audit including detailed
rebalance-by-rebalance calculations, as well as forward and backward
testing of trading strategies, and heavily case study oriented for trading
that suits your needs.
Spring/Summer '03 ARTSchool Schedule
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