Insightful
Subscribe to Wilmott
join wilmott
login
forums
blogs
wiki
articles
audio visual
file share
news
events
latest jobs
p&d
search
magazine area
cqf
bookshop
about us
subscribe
home
Scenarios III: Using Economic Fundamentals to Generate Scenarios: Wilmott Magazine Article
Bill Ziemba 212 Views

We begin to discuss the vast potential of using economic fundamentals along with various scenario generation techniques to tilt the historical data into better future scenarios.
Finance Focus With Aaron Brown: That's No Way to Run an Economy
Wilmott & 7city 5910 Views

The basic problem of economics is to take a given set of assets, skills and preferences for a group and organize the optimal activities according to some preference aggregation function. The field of finance is responsible for designing tools to help in this process. Money is an early tool. You assign a weight to every input and potential output, and ask each member of the group to do a one-dimensional linear local optimization. You shower all good things on the members who do this well, and grind the ones who do it badly into misery. The results of these local optimizations feed back into the weight assignments which makes the process high dimension and nonlinear, even though individuals only have to solve univariate linear problems. The approach works well when things are smooth and there a unique global optimum, but if not it can be unstable or get stuck in unpleasant local optimums. Central planning is a tempting approach to mathematical modelers because in principle it can solve the global multidimensional nonlinear problem. It allows the organization of activity to be solved independently of the distribution of outputs, less showering, less misery. It has a reputation for failure, but perhaps with recent advances in applied mathematics combined with more powerful computers it could now outperform money. The game of poker is another approach and I will argue it was responsible for more economic progress in the 19th century than the money economy and that it has popped up in interesting ways at key points of the 20th century. Derivatives trading, which evolved from poker games, is another approach. Rather than have lots of people solve low-dimensional linear local problems, it asks a small group of people to solve higher dimensional nonlinear global problems. The feedback loop is multidimensional and also higher frequency than with money. Showering of good things and misery are still allocated according to optimization skills, and in an exaggerated manner, but only for the trading group. I will discuss the pros and cons of these approaches from the standpoint of mathematical programming (i.e. considerations of social justice, human happiness and morality were reserved for post-talk drinks).

FSA Regulation & Compliance / APPROVED PERSONS - Infoline Events, London - 20-21 & 22 April 2010 - 20% Wilmott Discount
FSA Regulation & Compliance
Including Industry Case Studies & Examples of Good Practice
20&21 April 2010 - The Hatton, Central London

Specifically, attending this course will help you to:
• Understand FSA Supervision and Enforcement
• Hear how the FSA regulates and what to expect from a ‘themed inspection visit’
• Discuss the FSA's outcome-focused approach and the impact of Treating Customers Fairly (TCF)
• Gain practical insight into the Approved Persons Regime
• Understand the regulatory expectations of Training & Competence (T&C)
• Learn about the Anti-Money Laundering Regime and its practical implications for your firm
• Address the regulatory and legal environment for Financial Crime
• Examine the risk assessment and monitoring tools available, and how to best apply them
• Identify key regulatory risks in the areas of Financial Promotions and Complaints Handling
• Produce useful Management Information that fulfils regulatory requirements

Further information: http://www.infoline.org.uk/r.php?uID=1771

Wilmott members are entitled to a 20% discount. To register for this event, qualifying for this discount, please email custserv@infoline.org.uk or call on +44 (0)20 7017 7702 and quote VIP Code KM6476WTWEB.

APPROVED PERSONS
Meeting the FSA’s New Requirements & Standards
22 April 2010, The Hatton, Central London

Attending this seminar will help you:
• Identify the changes to Approved Person requirements, and what they mean for your company
• Examine the implications for parent undertakings and UK branches of third country firms
• Understand what the FSA now expects from NEDs (non-executive directors)
• Benchmark your transition to the new regime against FSA expectations and industry best practice
• ‘Credible deterrence’: prepare for the FSA’s new enforcement strategy
• Discover how to evidence ongoing competence as an Approved Person
• Test your interpretation of the new requirements through a case study exercise

Further information: http://www.infoline.org.uk/r.php?uID=1770

Wilmott members are entitled to a 20% discount. To register for this event, qualifying for this discount, please email custserv@infoline.org.uk or call on +44 (0)20 7017 7702 and quote VIP Code KM6473WTWEB.
Quant Analyst delta one strategy team - Asia opportunity - Hong Kong - NJF506
Quant Analyst delta one strategy team- Asia opportunity

* Location Hong Kong SAR

My client is a top tier Investment Bank and they are seeking to add to their delta one quantitative strategy team in Hong Kong.

This is a client facing role whereby the quant strategist will be speaking to internal and external clients. They will work on projects such as alpha generation, stock selection screens, factor modelling, portfolio construction and risk modelling.

My client is interested in quantitative strategists who bring at least two years experience in a role focused on equity quantitative analysis. Knowledge of equity derivatives from delta one to exotic volatility is a plus (although experience of other asset classes is also desirable). The candidate should come from a quantitative background with an MSc/PhD in Econometrics, Statistics or Engineering field and possess good programming ability in one of the following Mat lab, C/C++, SQL, Java

J.kennedy@njfsearch.com
Now Playing
Finance Focus: Robert Tong
Finance Focus: Brian Sentance, Xenomorph Software
Latest Blogs
Paul
Greed Is Good But Envy Is Bad
20 09 09: 11:41 PM
NNT
My Technical Appendix
16 04 09:2:40 PM
Collector
The Oldest Book of Time
02 03 10:3:20 PM
Emanuel Derman
The Decline of Professional Chemists
06 03 10: 9:50 AM
Satyajit Das
Mark-to-Make Believe: Living on a Prayer
03 03 10: 10:26 PM
DCFC
deMorgans Law
22 07 09: 3:04 PM
Pablo Triana
Quantitative Echoes
12 02 10: 11:52 PM
Jan Dash
Climate Change / Global Warming talk
30 01 10: 12:29 PM
Dan Goldstein
Let's find the world's best players of this game
17 03 09: 2:54 PM
Cuchulainn
Higher Order PDEs and the Curse of Dimensionality
02 03 10: 1:23 PM