+43 (0)732 / 2468-4210 mathinfo@mathconsult.co.at

Heinz W. Engl gives lecture in Hong Kong

by MathConsult Contao Admin

Heinz W. Engl, founder of MathConsult, gives the opening lecture at the International Conference on Inverse Problems and Optimal Control in Hong Kong. He speaks on "Industrial Mathematics and Nonlinaer Inverse Problems" and covers applications from steel industry, mathematical finance, medicine and biology.

For the conference web page, see http://www.math.cuhk.edu.hk/conference/ipoc2014/

Ann-Kristin Baum

by MathConsult Contao Admin

Ann-Kristin Baum (TU Berlin) speaks on "A flow formulation for differential-algebraic equations with applications to positive systems“ within the RICAM Transfer group seminar.

UnRisk PRICING ENGINE 8.0 released

by MathConsult Contao Admin

On Nov. 20, we have released the UnRisk PRICING ENGINE 8.0.

The key features of UnRisk 8.0 include the valuation of moderately structured fixed income instruments under a multi curve model, and the Bachelier model.

The multicruve model allows to use (in the same currency) different interest rate curves for discounting, e.g., the EONIA curve, and for determining variable cashflows, e.g. Libor3m or Libor 6m.

The Bachelier model for caps, floors, swaptions can replace the Black76 model, when interest rates are low. In Black vs Bachelier revisited, I pointed out the difficulties with Black 76, when interest rates approach zero. In such cases, (Black) volatilties explode, and orders of magnitude of several 1000 percent for Black volatilities are quite common. With the Bachelier model and its data, which may be used as calibration input, negative interest rates may occur without nasty instabilities.

For more information: www.unrisk.com

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