New results coming in October - please be sure check the
ARTWeb
periodically:
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 coming in October - please be sure check the ARTicles periodically:
ARTicle: Introduction to non-linear (chaotic) models for options arbitrage.
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 new 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 (both
of which are described in the A
Trader's Guide to Portfolio Risk/Return Optimisation seminar) calculators 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.
New - The ARTSchool Developer's
Kit: intended for medium and large investment banks and fund management operations,
this comprehensive suite of presentation and seminar resources permits you to quickly and easily develop your own:
sales presentations to clients,
presentations to investors,
share holders, regulators,
seminars for new staff (comprehensive coverage at basic, intermediate and advanced level of market workings, instruments, methods, risk .... )
seminars for experienced staff requiring additional information on advanced topics (term structure methods, portfolio
optimisation, etc.)
... or any other presentation in the natural course of business
Create "automated and self administered"
presentations/seminars to provide "on-line" reference resources.
on a very wide range of topics in securities and derivatives trading and risk management. The "kit" may include any or all of:
Nearly 5,000 professionally produced PowerPoint slides of proven quality from
ARTSchool's library of presentation and seminar slides
Efficient organization of presentation materials using the power of
Accent Graphics
Presentation Librarian software! Fast graphical viewing, powerful
search and retrieval and easy point and click selection of single, multiple, or entire chapters that have already been organized for you, and providing individual,
on-the-road mobility, and enterprise facilities.
Pre-set syllabi for a very wide range
of topics, alleviating the considerable time required to produce cohesive and pedagogically sensible presentations
A large number of calculators, spreadsheets, and library of functions for worked examples that are amenable to
customisation.
Service support from ARTSchool's staff for specialized projects, or simply to reduce your workload.
....
and more
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
Autumn/Winter '01 ARTSchool Schedule
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