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FINCAD Names Diana Laura Alvarez Vizcarra as Winner of its 2021 Women in Finance Scholarship
I am pleased to announce the winner of this year’s Women in Finance Scholarship! Diana Laura Alvarez Vizcarra, a native of Mexico, will use the award money to pursue a MSc degree in Computational Financial Mathematics at the University of Edinburgh. The FINCAD Women in Finance Scholarship is focused on helping talented women pursue graduate studies and embark on careers in finance. A US$20,000
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Insurance Overhaul
A family member recently asked me the specifics of a few different life insurance policies and it got me thinking about the metamorphosis the insurance industry has undergone globally the last few years and how it came about. It is really quite remarkable. We have gone from an insurance industry operating in the status quo of managing specific asset or liability allocation pieces in relative
December 6, 2012
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Architecture Series, Part 3: Objects Need Names
In my previous post, I said that C++, as a language choice for the implementation of an analytics library, is effectively mandated by the industry's expectations of high performance. In reality, well-written C++ can be very efficient, but it has to be well-written. The object model of C++ lets us cope with the ever increasing complexity of the calculations required to solve modern quantitative
December 3, 2012
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Architecture Series, Part 2: Which Language?
This series addresses issues specific to domain of financial derivative valuation and risk measurement. However, before leaping into the domain itself, I'd like to cover some considerations of tools, process and architecture which are more general, applying to software systems in this and other domains. Programming Paradigm The overwhelming winner in this category is object-oriented programming
November 21, 2012
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Architecture Series, Part 1: Architecture Matters
Risk magazine recently ran an interesting article. To extract a few choice phrases: Before, analysts could be abstract, and mathematical ability was prized; now they have to be pragmatic, and computer programming is the essential attribute the marginal impact on the capital position of any proposed trade needs to be known in advance, which means a complete recalculation at portfolio level and a
November 7, 2012
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