UnRisk FACTORY 3 Is Released

21-Sep-11, UnRisk took UnRisk FACTORY 3 and UnRisk FACTORY Capital Manager 3 to financial institutions.

The Age of Hyperspecialization?

After the Think It. Build It  post, the article in HBR, Aug-11 came in my mind: The Age of Hyperspecialization, the authors say that modern technological advances will transform the workplace by dividing work into smaller tasks performed by ever more specialized workers. And, they summarize, this will create quality, speed, and cost advantages for employers.

Think It. Build It.

I often ask myself, do quants need to know all traps and dirty tricks solving multi-factor PDEs numerically or with asymptotic math approaches, solving inverse problems, like model calibration, exploiting, say, CUDA over the grid optimally?

Distinguishing Between Complicated and Complex Matters

My skeleton is complicated, I am complex. A convertible with reset, call / put features and soft calls is complicated, how to trade it is complex.


Having built radical innovation from bottom up, we are able to swiftly enter into new directions and service longtime partners and friends with special attention.

Integrating our blazingly fast valuation and risk engines into transaction processing and web service environments to a portfolio across scenario simulation factory, we have created the UnRisk FACTORY. It is used in banks, private banks, capital management firms, insurance and financial services institutions.

EMH <==> P=NP

I recently found this: Phil Maymin at TEDxNSIT

Markets are efficient (current prices fully reflect all information available in past prices) if and only if every decision problem thats solution can be efficiently verified (NP) by a computer, can also be efficiently solved by a computer (P). In polynomial time.
In general the P versus NP complexity problem in computer science is unsolved.