Research

NEW BOOK: "Derivatives Analytics with Python"

Derivatives Lecture at Saarland University

Fast Monte Carlo Valuation of American Options with Stochastic Volatility

RECENT CLIENT PROJECT

Visixion GmbH has developed and conducted a focused Python training for selected people at Eurex, one of the world's leading derivatives exchanges. The major goal is to replace in certain areas a heterogeneous IT infrastructure (including, amongst others, Matlab and R) by Python as the main programming environment. Requirements are increased productivity, fast development cycles, easy collaboration, easy-to-maintain solutions and high performance.

DEXISION In The Press

DEXISION mentioned in the March 2010 Cover Story of Wilmott Magazine as first Derivatives Analytics suite based on the Python programming language. Read the whole Story.

The Python Quants

By yhilpisch, on November 29th, 2012%

Today, Visixion changed its motto to “The Python Quants”.

Every once in a while, we think about what we are doing, how things have developed and where we stand. We concluded that “The Python Quants” tells exactly what we are doing. We are quants since we are concerned with mathematical finance, financial engineering and derivatives analytics. With . . . → Read More: The Python Quants

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PyCon DE — Efficient Data Analysis with pandas and Derivatives Analytics with DEXISION

By yhilpisch, on October 25th, 2012%

Dr. Yves J. Hilpisch, MD of Visixion GmbH, will speak again at this year’s PyCon DE conference which takes place again in Leipzig.

After a good  start in 2011, PyCon DE will again take place in Leipzig. It starts on Monday, 29 October 2012, with tutorials and the University day. From 30 October to . . . → Read More: PyCon DE — Efficient Data Analysis with pandas and Derivatives Analytics with DEXISION

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DX Evo launched—Our Suite for Demanding Clients

By yhilpisch, on May 7th, 2012%

7 May 2012 — In April 2012, Visixion GmbH has launched a new offering—called DX Evo—for clients with highly individual demands when it comes to Derivatives Analytics.

Over the last couple of years, Visixion has been offering DEXISION—a suite that offers Derivatives Analytics On Demand in standardized an cost-efficient way. Building on this experience and taking into . . . → Read More: DX Evo launched—Our Suite for Demanding Clients

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The Story of DEXISION

By yhilpisch, on March 14th, 2011%

The vision behind DEXISION has always been to build a tool that implements “global valuation”. Global valuation is to be understood in the sense of a general market model according to the elegant valuation approach of Harrison and Pliska (1981). Large parts of this vision are available by now.

Back in 1998, in the midst of my . . . → Read More: The Story of DEXISION

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Simplicity Principle No. 2: Construction Kit Approach

By yhilpisch, on March 11th, 2011%

DEXISION offers simple, Web-based Derivatives Analytics. This is the second post in a series that explains where the simplicity of our Web-based analytics suite stems from. This article’s topic is the construction kit approach of DEXISION.

When it comes to Derivatives Analytics, you find different financial engineering and modeling approaches followed by market players:

self-made: of course, you . . . → Read More: Simplicity Principle No. 2: Construction Kit Approach

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Market-Based Valuation with Calibrated Objects in DEXISION

By yhilpisch, on February 25th, 2011%

Calibration of financial models is both science and art—and a really demanding task sometimes. Visixion recently added a number of pre-calibrated objects to DEXISION to allow for a simple and fast valuation of derivatives in a market-consistent manner.

Of course, every specific market-based valuation or pricing task leads in general to specific requirements regarding the calibration of . . . → Read More: Market-Based Valuation with Calibrated Objects in DEXISION

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Simplicity Principle No. 1: Single Numerical Method

By yhilpisch, on August 27th, 2010%

DEXISION offers simple, Web-based Derivatives Analytics. This is the first post in a series that explains where the simplicity of our Web-based analytics suite stems from. We start today with the single numerical method, Monte Carlo simulation.

From the beginning on, we knew that we wanted to be able to value complex derivative instruments with, for example, . . . → Read More: Simplicity Principle No. 1: Single Numerical Method

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Caplet, Swaption, Bermudan Swaption

By yhilpisch, on August 14th, 2010%

This article provides some examples of DEXISION’s modeling capabilities in the area of interest rate sensitive products.

Caplets, swaptions and Bermudan swaptions are important derivative instruments. This article provides a presentation and a video demonstrating how to model and value these instruments with DEXISION—our On Demand Derivatives Analytics suite.

To ease the . . . → Read More: Caplet, Swaption, Bermudan Swaption

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DEXISION—A Google for Derivatives

By yhilpisch, on July 23rd, 2010%

DEXISION is Visixion’s Web-based Derivatives Analytics suite which implements a completely new approach to derivatives pricing and management.

A recent study revealed how burdensome it can be to develop derivatives analytics in-house: “Celent’s analysis suggests that firms pursuing in-house efforts for derivative analytics require an upfront investment of at least $9 million.” (see Celent Website). However, for . . . → Read More: DEXISION—A Google for Derivatives

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