Dutch Science Quiz

Usually, on 31-Dec, one might thinks of a bang of the ending year, a great achievement, values that created great opportunities for the new year ....

I am a senior member of Wilmott. I like the spirited discussion about topics in economy, quant finance, mathematics, technology, programming, but also off topics ... 

Chief Executive Buyer

In Dec-12 we closed 3 deals with comparatively small financial institutions. Subject: capital management. Product: UnRisk FACTORY Capital Manager.

Panorama Photos Tell You More

I enjoyed another few days cross country skiing in the Antholz Valley. I decided quite spontaneously looking into the short term weather forecast. As expected, it snowed when I arrived and put the necessary 30 cm atop  the thin icy snow pack and the rest of the days it was continuously sunny but cold enough ....

Prediction - Disruptive Innovation - Reinvention

IT predictions for for 2013 are coming in this days and regulatory and business requirements will continuing drive financial institutions to take leading positions in technology.

Transparency, No .....?

This morning, I read this post in Mark Buchanan's Blog.

IMO, the question to be answered first: market clearance pricing (from price to cost) or fair prices (from cost to price)? Provided market clearance pricing works well, market prices are fair prices. If I believe the price is fair, I am not interested in the price structure at all.

Recommendations on More Legs

Sadly, I have not posted with the label If UnRisk was a ... for a while. But I find it still important. Why? I have introduced this topic not to artificially promote our level of innovativeness, but because I often ask myself: What would makers who care to sell products and services to people who care recommend us?

No, We Are Not Industrialists

This post is the third about our risk management engines and FACTORY with respect to foundations, constructions, development processes and positioning. The Inside of the Outside as the Outside ... is about the flexible construction - Sell Products to Customers Who Care about the principle positioning and our understanding of innovation.

XL for Xmas

A kind of ad that you might find quite frequently right now. XL may be a clothing size but also brands have XL extensions. Cars, computers, music labels, ... and even a programming language, not to be confused with XML.

Sell Products to Customers Who Care

Most providers start by selling products and services to people and organizations who care. And hope to grow from there. In our case, to financial experts who care about accuracy and robustness of derivatives and risk analytics and white box principles to detect hidden traps and understand model and method risk.

The Inside of the Outside as the Outside of ...

UnRisk-Q builds the computational engine of UnRisk FACTORY products. With UnRisk-Q version 6 we introduced high-level web services that link UnRisk-Q to the UnRisk FACTORY data base - FACTORY objects and data can be programmatically manipulated with full UnRisk functionality.

We Make UnRisk Inherently Parallel

We outline the newUnRisk concept of representing the domain specific programming front-end in different languages here. UnRisk becomes polyglot.

7 Things Risk Managers Should Be Thankful for in 2013

Risk management. Over the years regulatory and business requirements have driven financial institutions to take leading positions in technology, implementing new sophisticated features and automated analytics solutions that are widely accessible. To master the complexity of massive portfolio-across-scenario analysis, technology gets the role of an enabler.

Model Validation - First Defense Front of Risk Management?

Computational Finance is, in our understanding, the art of modelling financial processes and then to somehow calculate fair values of financial instruments. 

The continuing financial crisis has led to significant changes in the valuation of derivative contracts. New accounting standards force the adjustment of values with respect to many risk factors and introduce much more complexity to the valuations space - and consequently traps that should be avoided.

UnRisk User Wins Wolfram Innovator Award

The Wolfram Technology Conference 2012 took place from October 17-19 at Wolfram's headquarter in Champaign, IL.  Stephen Wolfram honored those who have made significant contributions to their industry - with Wolfram Technologies.

My Favorite Fiction Books of Nov-12

Blogs, I quite frequently read, present Favorite Books of 2012.

I worked quite hard this November, but I took my time to read a few fiction books and - maybe they were well selected - 3 are among my favorite reads ever. I read in German.


We are highly committed to accelerate our engines and unleash our technologies that accelerate development processes.

Agenda 2013 - Accelerate

2012 we have released UnRisk 6 and UnRisk FACTORY 4. It was the year of new customer segments and uses of our FACTORY based solutions as well as the programming power behind. The UnRisk engines and the FACTORY and VaR Universe are now linked twofold. 100+ customers world-wide enjoy UnRisk's benefits - supporting solutions from model validation to comprehensive SaaS offers.

The Tight-Integration Trap

This goes beyond our core business interests and positioning. It is about complex, tightly coupled systems. A dangerous mix.
A complex system can have unintended consequences and tightly coupled in most of the cases means there is not enough time to react to them.

The Slow Developer Movement


IMO, there are too many incubators around and we might see a swing back towards science driven innovation in 2013? We are lucky that we positioned ourself as independent sw boutique, trying to make the impossible possible but not overdo it.

Cheap Innovations

The large financial institutions have long been seen as the source of fresh thinking and innovation. But in 2013 this position may flip? Smaller institutions are teaching the world best financial practices.

Technologies That Makes Us More Angelic?

In the special issue The WIRED World 2013 a guide that gives its readers foresight into trends and ideas that will shape the coming year I read about angel technology. 
Technologies have made us more effective and efficient. Angel technologies will make as more angelic.

Happy Birthday To Us

There is no traditional gift for an 11th.

But the 11 Years of UnRisk event yesterday paid by insight: our rigorous research for mathematical-finance difference does matter. We know it, but it is great to see it live ...

Toward the End of Should?

Doctors should never advertise, hit musicians should be American or British, good wine should come from Bordeaux or Burgundy, great deals should be done by legal experts, effective leaders should control, big systems should come from major technology players, financial software should come from NY or London, object-oriented programming should be in C++ or Java, gadgets should not be utilized to crunch tons of numbers ... ?

Make Someone Else's Important Deadline

Great software development technologies and deep design are good for many things. They help us to make software product efficient, stable, extendible, easy to integrate and development processes swift, understandable, .... To make it fit for purpose, effective and, say, blazingly fast you need domain knowledge and in-depth methodological know-how.

The Worst Type of Optimizer

Harry Markowitz introduced the concept of diversification into investing back in the 1950s. Investors can reduce portfolio risk by holding combinations of instruments which are not perfectly positively correlated. Using information on the correlation between the returns of the assets in a portfolio you can choose a weighted portfolio to minimize the total volatility for any expected return. A foundation for many results in quantitative finance - a model for portfolio optimization.

Big Data. What About Big Insight?

Yes, we have got massive data and more are streaming each second from many sources around the world. And there is a lot of computational knowledge that has been accumulated in our civilization. And there are methods so extract knowledge from data.

The No-Problem Problem

A title from Seth Godin's blog.

The essence of risk management is: decide the adequate measure at the time when the risk is exposed, not when it eventually happens. This is easy if it is expected that a risk has a structure in a certain sense.

The Sexiest Job of the 21st Century?

A few minutes after I have posted UTOPE, the HBR October 2012 magazine fluttered on my desk.

It is about Big Data - how vast new streams of data are changing the art of management.
(no question on apophenia aspects ..)


Unfortunate cosT Of Pattern rEcognition. This is the cover story of the Wilmott Magazine, Jul-12 issue. Apophenia is the technical name for a problem with human nature: seeing meaningful patterns, when they do not exist.

Simplification is the Real Sophistication

... a statement with this semantics has been made by Leonardo da Vinci. I agree.

I have changed the design of this blog. You might have seen that I have tumbled between various results never really happy. The Blogger Template Designer is a fantastic tool : it really guides you to great results via an evolutionary prototyping approach. But I always wanted too much, without knowing really, what too much is.

Arming David

It is unbelievable - in its March 2006 issue Willmott Magazine wrote: Arming David - in a market of Goliath able to justify huge spend on enterprise management how are the numerous small capital management houses to meet regulatory pressures whilst remaining cost effective.

15 Years of Adaptive Integration

No, I am not falling into a retro mood. Our history just came to mind more frequently when I set up the frame for our event ...

In Return of the Lumberjacks, I have outlined that Andreas Binder has introduced Adaptive Integration at a workshop that turned out as our entry into the quant finance world.

To SaaS Or Not To SaaS?

This was asked in a recent Wired Cloudline Blog Post. Why to subscribe to a Software-as-a-server?
Six reasons are discussed, referring to Zilliant …

Great Auditors Do Not Only Audit

It seems to be common sense that an audit is an evaluation of an entity. Financial auditing is the verification of the financial statements of legal entities.
An external auditor is a professional who  performs an audit in accordance with specific laws ... She is independent of the entity being audited.

Return of the Lumberjacks

In the latest Wilmott Magazine the editor in chief, Dan Tudball, interviewed Andreas Binder and Michael Aichinger of UnRisk about the direction the firm is taking its software and the never-endung battles with trees.

Meet UnRisk in Tokyo

Wolfram Research Asia, Hulinks and us invite to a seminar presenting the Wolfram Finance Platform and UnRisk in Tokyo.

DIY Investors

The availability of online financial tools has enabled people to manage their money in ways they could not before.
The hidden background: main and wall are never going to love each other, meaning Main Street and Wall Street, synonymous for real economy and financial markets?

Innovation Catalysts

Comparative large financial institutions are given advantages: infrastructure, strong brand reputation, partner relationships, scientific knowledge, process excellence and experience with regulators.

The Worst Kind of Pricer

What is the use of a financial instrument pricer that calculates significant wrong prices? Randomly over- or underprice? If we knew how much it fails, it was not so bad, but ....

If you use no pricing software, you go searching the right price, but a wrong pricer?
(better no clock than a randomly imprecise one ..)

The Makers

In the WIRED Issue with the cover story Stay Creative the editor-in-chief of the US WIRED, Chris Anderson, wrote about The Makers. It is about the Do It Yourself (DIY) revolution and an extract from his book: Makers: The New Industrial Revolution. 

Stay Creative

Cover story, Wired UK Edition, Oct-12. Ferran Adria, world-famous chef, at the cover of a magazine about the innovators building a better world.

Automation - Put Your Computers to Good Use While You Are Sleeping

Our FACTORY or FACTORY Capital Manager customers enjoy their broad coverage, integrated valuation and data management, fast time-to-productivity, low cost of ownership, ... but especially its automation and enormous throughput.

Normally Distributed Short Rate Models Are Dead - Long Live Normally Distributed Short Rate Models

Take the Hull-White model scheme that is normally distributed..

Its disadvantage: interest rates can become negative.
Its advantage: interest rates can become negative.

Markets shifted to new regimes where interest rates not only become theoretically negative because of the random walk, but in reality.

Raging Bulls?

Wired: How Wall Street Got Addicted to HFT?

We, at UnRisk, do not take an ethical or cultural view on high-frequency trading - we like innovative spirals and new technologies.

Analogies, Metaphors and Big Problems

Innovation is often the act of transferring solutions that work well in one sector to another. A problem here might have a great solution elsewhere.

Celebrating 11 Years of UnRisk

This is the very first announcement.

UnRisk - From Derivatives Pricing to Advanced Risk Management Processes

6-Nov-12, 2 pm, Vienna, Grand Hotel, Kärntner Ring 9

Long-Term Cheating Is Difficult

Googling "Libor scandal" I get about 17 Million results. Don't be afraid, I am not adding another comment or assessment. It is self explaining .. ? Is it?

UnRisk Goes Multi Language II

In UnRisk Goes Multi Language I have outlined the All-New UnRisk concept of representing the domain-specific programming front-end in different languages.

Will Financial Data Scientists Supersede Financial Modelers?

The trend for Big Data is evident. We realize how sexy data analytics has become, Data Scientists are the new rock stars and it is expected that they create the next internet gold rush.

I have published some thoughts about this here, after I have read the Wired article, The Exabyte Revolution.

sitmo and UnRisk - Part of the Open Innovation Commitment

In Open for Open Innovation I have outlined that we like this concept of in- and out-licensing, gaining and sharing ideas and embracing other parties when developing new products and technologies. It is part of our business model and a fix point in our compass.

UnRisk Goes Cross Language

First, we have unleashed our programming power behind UnRisk solutions - UnRisk-Q.
It provides every financial object and function in a domain-specific programming front-end, represented in Mathematica. 

As mentioned earlier here, we go far beyond - the All-New UnRisk .

Risk Management and the Innocence of the Banana Peel

In risk-management-illustrated articles, you often find the banana peel. This shall suggest that it is dangerous, if you don't see it on the pavement you walk ...

Is risk equal to danger?
No, danger is one sided and risk is two sided: it creates opportunities and danger. This should make clear that risk management is not a necessary but productive appendage, or worse painful - not natural.
Optimizing risk for the best possible outcome makes a maximum positive contribution - and this requires to utilize specific mathematical calculations, not just instinct.

Build, Measure, Learn

About 15 years ago we built some convertible bond pricing tools for a London based trading desk. From that point we built the Unriskverse.

Pricing To Create Shared Value

Yesterday, I read this article in the HBR, Jun-12 magazine issue and realized that our customer-first principle, viewing customers as partners in value creation is exactly what the author recommends.

Our pricing scheme values coverage, computational performance and accessibility as well as use status.

Oh, That's Near Enough?

This article in this week's The Economist discusses on the microchip level what we haven been thinking on the algorithms.
2009 I wrote here When Good ENUF is Great after we have presented the Risky Horror Show at Wilmott Finance focus.

Risk Intelligence

Enthusiastic about our new release and the progress of the All-New UnRisk project, I have been a bit quiet about reads I find insightful and exciting.
Like another article of Aaron Brown. Risk Intelligentce released in the Wilmott Magazine, March-12.

Another Look to the Future of UnRisk

Today 5 years have passed since we have delivered the first version of UnRisk FACTORY to an Austrian bank. In fact UnRisk FACTORY has been created as result of a joint project ordered by a consortium of 3 banks with one common goal: enable them to perform portfolio-across-scenario-analytics in-time and highly automated for portfolios that contain the most sophisticated deal types.

Finance Focus Lecture - Deep Space Analytics - Recorded

We hosted a lecture for finance industry professionals in the frame of Wilmott's Finance Focus inn 22.May-12.

Deep Space Analytics at Wilmott Serving the Quant Finance Community.

A Little More Info about UnRisk 6

This is the updated Instrument Coverage and Documentation Center.

To get most out of the products customers get full explanation on the technical foundations and technical approaches.

UnRisk 6 Rolls Out

21-May-12 - we have released UnRisk PRICING ENGINE and UnRisk-Q version 6, introduced as UnRisk 6. This release is free for all UnRisk Premium Service Customers and will be shipped to all new customers immediately. UnRisk has been introduced 2001. Now UnRisk 6 is the 19th release.

About Exotic Places

I like good food and now and then, even not a slave of raters, I look into rankings - as The World's 50 Best Restaurants. Looking through the winner list, not surprisingly the major cities are well presented as well as known culinary regions, like the one around San Sebastian, Spain.

Spot New Ideas

Inspired by the article How to Spot the Future in the Wired UK Magazine Jun-12 issue, I thought about some of our principles.

All-New-UnRisk Web Info

We have just launched web pages that will describe the process along our reinventing UnRisk efforts.
At the moment its is an overview, but we will come with prototypical examples, interesting details, timelines and what have you in such an exciting project.

Deep Space Analytics

UnRisk is the presenter at Wilmott Finance Focus. 22-May-12 at 7city Learning, 4 Chiswell Street, London.

Shhh, ... UnRisk 6 is Coming

In about a month, we will take UnRisk-Q and UnRisk PRICING ENGINE version 6 to financial institution's developing quants and risk professionals.

It has a Name - UnRisk

Two weeks ago, it was still UnRisk Unnamed. In the mean time the core team had a creative dinner, enjoying north-indian food, and we have a name now - UnRisk.
It just came out of a natural conversation.

Wall Street Loses Career Magnetism

DealB%k, Kevin Roose wrote Wall Street's Latest Campus Recruiting Crises. The essence of the article: the best and brightest students are turning to other industries.

Lessons of Steve Jobs

The Real Leadership Lessons of Steve Jobs is the cover story of the Apr-12 issue of HBR.

14 keys of success. I cannot resist to look into them - with the eye of and the applicability to our business.

Reverse Innovation

At the first strategy meetings in 2001 we have decided to make a big system for the small. And yes, our over hundred customers are small and medium sized  financial market participants, banks, capital management firms, asset management groups at insurance and independent financial services institutions.

Window of Opportunity

A few steps away from my office I can find this Magnolia tree.
They are not only impressive beautiful, when their sweet fragrance fills the air, you know you are at start of spring. They are magnificent flowering plants featuring blossoms in various colors. There are about 80 different species.

Me Talking to Myself in a Year

4-Jan-2010 I posted Me Talking to Myself in the Future, predicting a few achievements for begin 2012.

How precise? UnRisk engines version 6 will be released Q2-12. UnRisk FACTORY and Capital Manager well be at version 4 in Q4-12 with the coverage of the UnRisk 6 engine and more automation.
We have included the VaR Universe and the UnRisk Academy tied software and learning aspects together to know-how packages.
UnRisk is running on heterogenous  CPU/GPU architectures.

We Have Passion, A Compass, Tons of Code - But Not a Name

We passionately work on the All-New UnRisk. A thoroughly elaborated compass guides us to do it right at once. We know that the timing is right, we have positioned it on the value/price map, know the licensing details, have done our strategic marketing work and we know there will be no product deficiency - in the opposite the fast growing implementations prove the concept.

Retro-Modern Vintage ...

interiors, cloths, hi-fi, art, ads, ... specializing in mid century things.
I confess, loft furniture from the 50s, 60s, 70s do not look bad. And I still like the loft jazz as it is represented in the Wildflowers Edition (but I have sold the LPs. It is stored on iPod now, played at GenevaLab).
And in If UnRisk was a Car I have the retro Fiat 500.

Risk Management has No Size

15-Mar-12. The Association of Austrian Investment Companies organized a seminar Risk Management on Investment Funds with a special emphasis on the Federal Act on Investment Funds 2011 and the regulative on derivatives.

Don't make Goods, make Betters.

The post is inspired by an review of Umair Hague's The New Capitalist Manifesto, reviewed in Jay Cross' Internet Time Blog. 21st century companies loved by its customers, envied by its peers, ... will not produce goods but betters .... is one summary on the book.

Cool Business

I could not resist and took another few days off enjoying cross country skiing in the Antholz Valley with its Biathlon Center offering professional trails - the same as used at the Biathlon Wold Cup.

Approaching Singularity?

In Will Technology Outsmart Us I have used a title that also could have been Approaching Singularity using the word popularized by the futurist Ray Kurzweil predicting that if the technology becomes more intelligent it will become self-driven by positive feed back loops.

The Smart Revolution.

After I have posted Will Technology Outsmart Us, I searched a little and found in The NY Times, Not Quite Smart Enough. Smart appliances are part of a larger trend toward smart electronics, it says.
So, if I have a freshly caught trout and beetroot in my refrigerator it will tell me recipes ...
One by Heston Blumenthal or Alain Ducasse, one on dietary needs?

Will Technology Outsmart Us?

Does Complexity Economics need complex simulation systems to gain insight and even beyond, complex control systems to being "managed"? A global controller is in contradiction to complexity.
I see a system as complex, if it contained subsystems of co-evolution.

Traditional economic models see an interplay between countless market participants who acting more or less rational bringing the markets towards a balance and external impacts mostly based on events as well as rules and technology developments.
In short, financial instruments taking their realistic values would "freeze" - the market would settle down - without external "shocks".
Do they? Complex, constructive learning plays an important role in such complex systems leading to an internal dynamics even with the absence of external shocks.

M Buchanan went into details in his post Minority Games. Really exciting.

But let me step back a little. Will there be a co-evolution of human and artificial intelligence or will technology just take over? In other words, will we, will we need to stay competitive?

I have a background in factory automation and in this field feed back loops are still used to control machine tools, robots, transportation and storage systems. There will be a better way of interaction based on simple local intelligence.

What about an economic agent system?

Let me escape from the feasibility question.
Can competition in principle mean "fewer" losses?
Humans build networks to enhance knowledge, interact across cultures, ask great questions, engage opposite views, .... they co-operate.

Therefore I do not see the future spectacled, say, in the Matrix films.
What interacting with technology teaches us will be important and consequently, we need to design systems strictly bottom up.

Open For Open Innovation?

In a first view Open Innovation sounds like a generalization of the Open Source idea. Free intellectual property rights?
The term was promoted by Chesbrough, H. (2003), Open Innovation: the New Imperative for Creating and Profiting from Technology. Harvard Business School Press.

The Internet Of Things

The internet of things (first mentioned 1999) refers to the representation of uniquely identifiable objects in the internet. Autonomous and intelligent entities shall interoperate online. Alliances are built to promote this idea.