computing

Calypso Technology, a multi-asset-class trading and risk management software company, has purchased Codefarm, whose flagship Galapagos platform allows for the construction and management of collateralized debt obligation (CDO) portfolios. Terms of the deal, announced today, were not disclosed.

This article introduces you to the basics of hedging fixed income derivatives trades.  It is meant to be a practical guide to understanding basic hedging.  Three common trade examples are presented with examples of different potential hedges.  Volatility smiles are touched on, as are the Greeks (delta, gamma, theta, vega, rho) and other risk measures (PV01/DV01, duration, convexity).   The language is written in layman’s terms as much as possible to facilitate understanding of hedging concepts without getting too deeply into complex mathematics.

GridGain is an open source product written in Java providing a grid computing platform. It is known to be one of the more widely used grid product, certainly, as far as I see, one of the easiest to "gridify" or grid-enable an existing product.

One of the applications of the product is to couple with Amazon EC2 to make a "cloud" computing platform. See Gridgain + Amazon EC2

The widespread use of "multi-core" PCs also means that the product can be used to "parallelise" to take advantage of this increased power.

Leland had come to realize that the local arbitrage argument used by Black and Scholes to price options could be extended to actually create options. Rather than create a risk-free return by dynamically hedging an option with stock, as in Black-Scholes, why not reverse the process and create an option by dynamically hedging the stock with a risk-free asset?

During the summer of 1978, while working in France, Leland saw a possible resolution to the volatility problem.