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News and events

April 2014

d-fine is very pleased to invite you once again to this year's Spring workshop "Science in Finance" on 10/11 April 2013 at the Schlosshotel Kronberg (Germany). German language skills are mandatory for this workshop. Click here for more information.

 

December 2013

Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken recently contributed to the well-known “Cutting Edge” section of the Energy Risk magazine. Their paper addresses the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the contract owner’s individual risk preference, which endogenously determines the storage’s optimal hedge.

 

November 2013

Get to know d-fine - not as a candidate but as a consultant!
In our three days "Science in Finance" workshop, there will be lectures on Financial Mathematics , a case study and talks on our experience as a consulting practice. The workshop takes place from 13-15 November 2013 at the Schlosshotel in Kronberg, Germany. Application deadline is 16 September 2013. The workshop will be held in German.

 

April 2013

d-fine is very pleased to invite you once again to this year's Spring workshop "Science in Finance" on 11/12 April 2013 at the Schlosshotel Kronberg (Germany). German language skills are mandatory for this workshop.

 

December 2012

Publication of the white paper on negative interest rates of Dr Mark W Beinker and Dr Holger Plank:
New volatility conventions in negative interest environment - Current developments and necessary adjustments of IT systems in trading, risk management and accounting
This white paper summarizes the new volatility conventions in negative interest rate markets. ICAP, the leading provider, quotes now swaption volatilities on the "shifted-lognormal" model. Cap volatilities are provided in "Shifted Lognormal" as well as in "Normal". These new models and the pricing formulas for vanilla options are explained in detail in this paper.
In the second part, the effects of trade and accounting systems, valuation libraries and risk assessment systems are illustrated and the resulting call for action is outlined.