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Computer Society of Indiatm
TM TM Computer Society of India TM 50th Annual Report 2014-15 50th Annual Report 2014-2015 Registered Office Contents COMPUTER SOCIETY OF INDIA 302, Archana Arcade, 10-3-190, St. Johns Road, Secunderabad – 500025 Executive Committee 1 Tel. : 040-27823123 2014-2015 & 2015-2016 Head Office Unit No.3, 4th Floor Samruddhi Venture Park Annual Report 2 MIDC, Andheri (E), Mumbai 400 093 Email : hq@ csi-india.org Chapters 6 Tel. : 022 2926 1700 website : http//www.csi-india.org Region's Activities 7 Education Directorate CPT Campus, Taramani Chennai-600 113 Education Directorate 48 Tel./Fax : 044-2254 2874 Activity Report Email : [email protected] Auditors Division/Chapter/SIG/ 50 M/s. Pruthviraj Shah & Co. ED Activity Report Bankers to Head Office State Bank of India Central Bank of India Education Directorate 58 Standard Chartered Bank Axis Bank List of Student Branches 60 Bankers to Education Directorate State Bank of India CSI Gold Tech Bridge Programme 88 Axis Bank 50th Annual Report 2014-2015 Computer Society of India Executive Committee 2014-2015 2015-2016 Mr. H R Mohan President Prof. Bipin V. Mehta President Prof. Bipin V Mehta Vice-President Dr Anirban Basu Vice-President Mr. Sanjay Mohapatra Hon. Secretary Mr. Sanjay Mohapatra Hon. Secretary Mr. Ranga Rajagopal Hon. Treasurer Mr. R. K. Vyas Hon. Treasurer Prof. S V Raghavan Immd. Past President Mr. H R Mohan Immd. Past President Mr. R K Vyas Regional Vice-President, Mr. Shiv Kumar Regional Vice-President, (Region I) (Region I) Mr Devaprasanna Sinha Regional Vice-President, Mr. Devaprasanna Sinha Regional Vice-President, (Region II) (Region II) Prof. -
The Forward Smile in Stochastic Local Volatility Models
The forward smile in stochastic local volatility models Andrea Mazzon∗ Andrea Pascucciy Abstract We introduce an approximation of forward start options in a multi-factor local-stochastic volatility model. We derive explicit expansion formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets. The expansion involves only polynomials and can be computed without the need for numerical procedures or special functions. Recent results on the exploding behaviour of the forward smile in the Heston model are confirmed and generalized to a wider class of local-stochastic volatility models. We illustrate the effectiveness of the technique through some numerical tests. Keywords: forward implied volatility, cliquet option, local volatility, stochastic volatility, analytical ap- proximation Key messages • approximation for the forward implied volatility • local stochastic volatility models • explosion of the out-of-the-money forward smile 1 Introduction In an arbitrage-free market, we consider the risk-neutral dynamics described by the d-dimensional Markov diffusion dXt = µ(t; Xt)dt + σ(t; Xt)dWt; (1.1) where W is a m-dimensional Brownian motion. The first component X1 represents the log-price of an asset, while the other components of X represent a number of things, e.g., stochastic volatilities, economic indicators or functions of these quantities. We are interested in the forward start payoff + X1 −X1 k e t+τ t − e (1.2) ∗Gran Sasso Science Institute, viale Francesco Crispi 7, 67100 L'Aquila, Italy ([email protected]) yDipartimento di Matematica, Universit`a di Bologna, Piazza di Porta S. -
New Frontiers in Practical Risk Management
New Frontiers in Practical Risk Management English edition Issue n.6-S pring 2015 Iason ltd. and Energisk.org are the editors of Argo newsletter. Iason is the publisher. No one is al- lowed to reproduce or transmit any part of this document in any form or by any means, electronic or mechanical, including photocopying and recording, for any purpose without the express written permission of Iason ltd. Neither editor is responsible for any consequence directly or indirectly stem- ming from the use of any kind of adoption of the methods, models, and ideas appearing in the con- tributions contained in Argo newsletter, nor they assume any responsibility related to the appropri- ateness and/or truth of numbers, figures, and statements expressed by authors of those contributions. New Frontiers in Practical Risk Management Year 2 - Issue Number 6 - Spring 2015 Published in June 2015 First published in October 2013 Last published issues are available online: www.iasonltd.com www.energisk.org Spring 2015 NEW FRONTIERS IN PRACTICAL RISK MANAGEMENT Editors: Antonio CASTAGNA (Co-founder of Iason ltd and CEO of Iason Italia srl) Andrea RONCORONI (ESSEC Business School, Paris) Executive Editor: Luca OLIVO (Iason ltd) Scientific Editorial Board: Fred Espen BENTH (University of Oslo) Alvaro CARTEA (University College London) Antonio CASTAGNA (Co-founder of Iason ltd and CEO of Iason Italia srl) Mark CUMMINS (Dublin City University Business School) Gianluca FUSAI (Cass Business School, London) Sebastian JAIMUNGAL (University of Toronto) Fabio MERCURIO (Bloomberg LP) Andrea RONCORONI (ESSEC Business School, Paris) Rafal WERON (Wroclaw University of Technology) Iason ltd Registered Address: 6 O’Curry Street Limerick 4 Ireland Italian Address: Piazza 4 Novembre, 6 20124 Milano Italy Contact Information: [email protected] www.iasonltd.com Energisk.org Contact Information: [email protected] www.energisk.org Iason ltd and Energisk.org are registered trademark. -
Regulatory Circular RG16-044
Regulatory Circular RG16-044 Date: February 29, 2016 To: Trading Permit Holders From: Regulatory Division RE: Product Description and Margin and Net Capital Requirements - Asian Style Settlement FLEX Broad-Based Index Options - Cliquet Style Settlement FLEX Broad-Based Index Options KEY POINTS On March 21, 2016, Chicago Board Options Exchange, Incorporated (“CBOE” or “Exchange”) plans to commence trading Asian style settlement and Cliquet style settlement FLEX Broad-Based Index Options (“Asian options” and “Cliquet options,” respectively).1 Asian and Cliquet options are permitted only for broad-based indexes on which options are eligible for trading on CBOE. Asian and Cliquet options may not be exercised prior to the expiration date and must have a $100 multiplier. Asian style settlement is a settlement style that may be designated for FLEX Broad-Based Index options and results in the contract settling to an exercise settlement value that is based on an arithmetic average of the specified closing prices of an underlying broad-based index taken on 12 predetermined monthly observation dates. Cliquet style settlement is a settlement style that may be designated for FLEX Broad-Based Index options and results in the contract settling to an exercise settlement value that is equal to the greater of $0 or the sum of capped monthly returns (i.e., percent changes in the closing value of the underlying broad-based index from one month to the next month) applied over 12 predetermined monthly observation dates. The monthly observation date is set by the parties to a transaction. It is the date each month on which the value of the underlying broad-based index is observed for the purpose of calculating the exercise settlement value. -
Calibration Risk for Exotic Options
Forschungsgemeinschaft through through Forschungsgemeinschaft SFB 649DiscussionPaper2006-001 * CASE - Center for Applied Statistics and Economics, Statisticsand Center forApplied - * CASE Calibration Riskfor This research was supported by the Deutsche the Deutsche by was supported This research Wolfgang K.Härdle** Humboldt-Universität zuBerlin,Germany SFB 649, Humboldt-Universität zu Berlin zu SFB 649,Humboldt-Universität Exotic Options Spandauer Straße 1,D-10178 Berlin Spandauer http://sfb649.wiwi.hu-berlin.de http://sfb649.wiwi.hu-berlin.de Kai Detlefsen* ISSN 1860-5664 the SFB 649 "Economic Risk". "Economic the SFB649 SFB 6 4 9 E C O N O M I C R I S K B E R L I N Calibration Risk for Exotic Options K. Detlefsen and W. K. H¨ardle CASE - Center for Applied Statistics and Economics Humboldt-Universit¨atzu Berlin Wirtschaftswissenschaftliche Fakult¨at Spandauer Strasse 1, 10178 Berlin, Germany Abstract Option pricing models are calibrated to market data of plain vanil- las by minimization of an error functional. From the economic view- point, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different sets of calibrated model parameters and the resulting prices of exotic options vary significantly. These price differences often exceed the usual profit margin of exotic options. We provide evidence for this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the Heston and in the Bates model factors influencing these price differences of exotic options and finally recommend an error func- tional. -
Für Strukturierte Produkte 2016
für Strukturierte Produkte 2016 NR. 07 JAHRBUCH www.payoff.ch EDITORIAL Impulsiver Jahrgang So volatil und bewegt wie das Jahr 2015 zu Ende ging, so schwungvoll startete das neue Jahr 2016. Insbesondere der nur von wenigen Marktbeobachtern prognostizierte Absturz des Ölpreises sorgt zunehmend für Unruhe. Nach dem angekündigten Ende der über zwei Jahrzehnte geltenden Iran-Sanktionen fällt der Preis für ein Barrel Brent-Öl zeitweise unter 28 Dollar. Je tiefer der Ölpreis, desto grösser die Sorgenfalten vieler Marktteilnehmer. Grotesk, eigentlich sollte sich die Wirtschaft über tiefere Kosten freuen, doch zu viele Unternehmen in der Rohstoffbranche hängen am seidenen Faden, finanziert noch zu Zeiten, als der Ölpreis bedenkenlos hoch lag und Basismetalle noch ein weites Stück teurer waren. Banken und Kreditgeber bekommen zunehmend kalte Füsse. Im Umkehrschluss schiesst die Volatilität, gemessen am VSMI, VDAX und VIX, deutlich nach oben. Optionen und Derivate als Grundstein für Strukturierte Produkte bieten plötzlich wieder sehr interessante Möglichkeiten. Egal ob long oder short, der Struki-Baukasten ist en vogue. Zwar ist es noch etwas zu früh für seriöse Jahresprognosen, doch steht fest, dass die Schweiz nach wie vor in der globalen Liga für strukturierte Finanzprodukte auf dem ersten Platz rangiert und eine erstklas- sige Markt-Infrastruktur hat. Die Emittenten, Broker und die Börsenbetreiber, allen voran die SIX Swiss Exchange, tragen hieran einen verdienten Anteil. Doch kommt der Erfolg nicht von alleine: Über 2'000 Menschen sind börsentäglich mit und für die Entwicklung, Marketing, Platzierung und Abwicklung von Strukturierten Produkten in der Schweiz im Einsatz. Wir haben auch für die Jahrgangsreihe 2016 diese einzigartige Community porträ- tiert, analysiert und Stimmungsberichte zu relevanten Trends, wie beispielsweise die Structuring-Plattformen, destilliert. -
Model Risk in the Pricing of Exotic Options
Model Risk in the Pricing of Exotic Options Jacinto Marabel Romo∗ José Luis Crespo Espert† [email protected] [email protected] Abstract The growth experimented in recent years in both the variety and volume of structured products implies that banks and other financial institutions have become increasingly exposed to model risk. In this article we focus on the model risk associated with the local volatility (LV) model and with the Vari- ance Gamma (VG) model. The results show that the LV model performs better than the VG model in terms of its ability to match the market prices of European options. Nevertheless, both models are subject to significant pricing errors when compared with the stochastic volatility framework. Keywords: Model risk, exotic options, local volatility, stochastic volatil- ity, Variance Gamma process, path dependence. JEL: G12, G13. ∗BBVA and University Institute for Economic and Social Analysis, University of Alcalá (UAH). Mailing address: Vía de los Poblados s/n, 28033, Madrid, Spain. The content of this paper represents the author’s personal opinion and does not reflect the views of BBVA. †University of Alcalá (UAH) and University Institute for Economic and Social Analysis. Mail- ing address: Plaza de la Victoria, 2, 28802, Alcalá de Henares, Madrid, Spain. 1 Introduction In recent years there has been a remarkable growth of structured products with embedded exotic options. In this sense, the European Commission1 stated that the use of derivatives has grown exponentially over the last decade, with over-the- counter transactions being the main contributor to this growth. At the end of December 2009, the size of the over-the-counter derivatives market by notional value equaled approximately $615 trillion, a 12% increase with respect to the end of 2008. -
A Few Insights Into Cliquet Options Tristan Guillaume
A few insights into cliquet options Tristan Guillaume To cite this version: Tristan Guillaume. A few insights into cliquet options. International Journal of Business, 2012, 17 (2), pp.163-180. hal-00924287 HAL Id: hal-00924287 https://hal.archives-ouvertes.fr/hal-00924287 Submitted on 6 Jan 2014 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. A Few Insights Into Cliquet Options (published in International Journal of Business, 2012, vol. 17, n°. 2) Tristan Guillaume Université de Cergy-Pontoise, Laboratoire Thema, 33 boulevard du port, 95011 Cergy-Pontoise Cedex, France Tel. : + 33 6 12 22 45 88 Fax:+33134256233 [email protected] Abstract This paper deals with a subset of lookback options known as cliquet options. The latter lock in the best underlying asset price over a number of prespecified dates during the option life. The specific uses of these contracts are analyzed, as well as two different hedging techniques. Closed form valuation formulae are provided under standard assumptions. They are easy to implement, very efficient and accurate compared to Monte Carlo simulation approximations. Keywords Cliquet option - Lookback option - Option valuation - Option hedging - Numerical dimension 1 1 Introduction The term « cliquet option » is ambiguous. -
Annual Report
THE INSTITUTE OF MATHEMATICAL SCIENCES C. I. T. Campus, Taramani, Chennai - 600 113. ANNUAL REPORT Apr 2015 - Mar 2016 Telegram: MATSCIENCE Telephone: +91-44-22543100,22541856 Fax:+91-44-22541586 Website: http://www.imsc.res.in/ e-mail: offi[email protected] Foreword The Institute of Mathematical Sciences, Chennai has completed 53 years and I am pleased to present the annual report for 2015-2016 and note the strength of the institute and the distinctive achievements of its members. Our PhD students strength is around 170, and our post-doctoral student strength is presently 59. We are very pleased to note that an increasing number of students in the country are ben- efiting from our outreach programmes (for instance, Enriching Mathematics Education, FACETS 2015, Physics Training and Talent Search Workshop) and we are proud of the efforts of our faculty, both at an individual and at institutional level in this regard. IMSc has started a monograph series last year, with a plan to publish at least one book every year. A book entitled “Problems in the Theory of Modular Forms” as ‘IMSc Lecture Notes - 1’ has been published this year Academic productivity of the members of the Institute has remained high. There were several significant publications reported in national and international journals and our faculty have authored a few books as well. Five students were awarded Ph.D., and three students have submitted their Ph.D. theses. Four students were awarded M.Sc. by Research, and two students have submitted their master’s theses under the supervision of our faculty. -
Options Valuation. Ilya, Gikhman
Munich Personal RePEc Archive Options valuation. ilya, gikhman 2005 Online at https://mpra.ub.uni-muenchen.de/1452/ MPRA Paper No. 1452, posted 14 Jan 2007 UTC Options valuation. Gikhman Ilya 6077 Ivy Woods Court Mason, OH 45040 ph: (513) 573 - 9348 e-mail: [email protected] Abstract. This paper deals with the option-pricing problem. In the first part of the paper we study in details the discrete setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the old and the new approaches. The main qualitative distinction of the new pricing approach from either binomial or Black Scholes’s is that it represents the option price as a stochastic process. This stochastic interpretation can not give straightforward advantage for an investor due to stochastic setting of the pricing problem. The new approach explicitly states that the options price is more risky than represented by binomial scheme or Black Scholes theory. To highlight the difference between stochastic and deterministic option price definitions note that if a deterministic value is interpreted as a perfect or fair price we can comment that the stochastic interpretation provides this number or any other with the probability that real world option value at maturity will be bellow chosen number. This probability is a pricing risk of the option. Thus with an investor’s motivation of the option pricing the stochastic approach gives information about the risk taking. The investor analyzing option price and corresponding risk makes a decision to purchase the option or not. Continuous setting will be considered in the second part of the paper following [1]. -
Analytical Finance Volume I
The Mathematics of Equity Derivatives, Markets, Risk and Valuation ANALYTICAL FINANCE VOLUME I JAN R. M. RÖMAN Analytical Finance: Volume I Jan R. M. Röman Analytical Finance: Volume I The Mathematics of Equity Derivatives, Markets, Risk and Valuation Jan R. M. Röman Västerås, Sweden ISBN 978-3-319-34026-5 ISBN 978-3-319-34027-2 (eBook) DOI 10.1007/978-3-319-34027-2 Library of Congress Control Number: 2016956452 © The Editor(s) (if applicable) and The Author(s) 2017 This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Cover image © David Tipling Photo Library / Alamy Printed on acid-free paper This Palgrave Macmillan imprint is published by Springer Nature The registered company is Springer International Publishing AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland To my soulmate, supporter and love – Jing Fang Preface This book is based upon lecture notes, used and developed for the course Analytical Finance I at Mälardalen University in Sweden. -
Consolidated Policy on Valuation Adjustments Global Capital Markets
Global Consolidated Policy on Valuation Adjustments Consolidated Policy on Valuation Adjustments Global Capital Markets September 2008 Version Number 2.35 Dilan Abeyratne, Emilie Pons, William Lee, Scott Goswami, Jerry Shi Author(s) Release Date September lOth 2008 Page 1 of98 CONFIDENTIAL TREATMENT REQUESTED BY BARCLAYS LBEX-BARFID 0011765 Global Consolidated Policy on Valuation Adjustments Version Control ............................................................................................................................. 9 4.10.4 Updated Bid-Offer Delta: ABS Credit SpreadDelta................................................................ lO Commodities for YH. Bid offer delta and vega .................................................................................. 10 Updated Muni section ........................................................................................................................... 10 Updated Section 13 ............................................................................................................................... 10 Deleted Section 20 ................................................................................................................................ 10 Added EMG Bid offer and updated London rates for all traded migrated out oflens ....................... 10 Europe Rates update ............................................................................................................................. 10 Europe Rates update continue .............................................................................................................