Ugly Duckling – Dedicated to Financial Engineering
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We are delighted to be on the steering committee responsible for the Actuarial Association’s new Masters program: Executive Master of Actuarial Science (EMAS). The Actuarial Association (Actuarieel Ge...
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Modeling We build financial models. We do this both within the Ugly Duckling team and embedded in your organization. When building models we often use the existing Ugly Duckling code base and research...
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Ugly Duckling – Dedicated to Financial Engineering
Introduction Ugly Duckling is a consultancy specialized in quantitative finance. In particular, the main focus is on technical aspects, such as product modelling, custom tooling like prices, model val...
Uglyduckling.nl news digest
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9 years
UD @ World Finance Conference (Buenos Aires, July 2015)
We are happy to announce that our work from last year on interest rate risk has been accepted for presentation at the World Finance Conference. The conference will take place in Buenos Aires (Argentina) on 21-24 July, where we will talk about our geometry...
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9 years
Theta : A Test for Short Rate Model Lattice
While short rate models have lost ground to libor market models for valuation of (complex) interest rate derivatives, they remain popular for Asset and Liability Management. As a result you may find yourself implementing a short rate model. Often the...
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9 years
Warning NlOptNet Contains Malware
For a recent project building short rate lattice trees we needed to do some root solving. Fortunately there are quite a few Open Source solvers available enabling us to test a wide range of algorithms with little effort. One of the algorithms we tried...
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9 years
Generalized Procedure for Building Short Rate Trees in Excel / VBA using LevmarE...
In a previous we blog we reproduced example 1 of the 2014 paper John Hull and Alan White “Generalized Procedure for Building Short Rate Trees”. In the paper the authors derive a generalized method for the construction of short rate trees. This generalization...
Domain history
| Web host: | Versio B.V. |
| Registrar: | Stichting Internet Domeinregistratie NL |
| Registrant: | |
| Updated: | December 01, 2023 |
| Expires: | January 01, 1970 |
| Created: | November 04, 2011 |
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