Theta Suite Release Fall 2014 is available now

Theta Suite 2.3: Concentration on speed

- A new release of Thetaris' flagship product is now available. Theta Suite allows valuation, hedging and risk management of any financial contract. The focus lies on exotic structures, especially Variable Annuities. 

For this release, besides many minor improvements, Thetaris focused on minimal initialization time and significant speed-up during aggregation processes. Furthermore the newest version of Theta Suite is now fully compatible with the Matlab 2014a. So it supports all Matlab versions since 2007b.

A new feature is the integration of a very efficient variance reduction technique. This technology allows running a simulation with only about one tenth of the scenarios while keeping the accuracy.

For more information please follow the link:  http://www.thetaris.com/thetasuite/

Press release: Who is happy in the finance community?

Thetaris developed a crowdsourcing platform, that gives the answer.

Shortly before years’ end, Thetaris asks the finance community for their input regarding the economic and financial expectations for 2015 (please see: who-is-happy.com). How happy are you with job, career, work, infrastructure. What are your expectations for economic and financial development in different regions of the world. It's time to sum up sector trends.

Thetaris, a provider of cutting-edge modeling solutions for easy structuring exotics, developed this easy to use crowd-sourcing platform. The site promises an entertaining interview process with instant feedback. 

Crowd answers can be immediately matched against your own. The platform is completely anonymous, intuitive to use and comes with a modern design. Reports show the wisdom of the finance crowd for every topic and gives the user the ability to explore the data of all users in an analytics dashboard. Examples for what the users are able to investigate immediately include

  • expectations for growth of the world economy in 2015  by Europeans vs Americans vs Asians.
  • amounts of bonuses for senior level in Russia vs Europe vs China,
  • career expectations of male vs female juniors in Europe,
  • personal allocation of financial assets of finance professionals and
  • many other topics.

We are looking forward to your input -   anonymously: who-is-happy.com


November 12th - PRMIA Event on Managing Systemic Exposure

PRMIA Munich is proud to invite you to a presentation by Dr. Federico Galizia on:

Managing Systemic Exposure

Prior to the financial crisis, exposure to systemic entities had been assumed to be largely risk free. Yet the exposures were not risk free. The losses were catastrophic and set the whole system back in reverse. Today’s systemic entities trade with each other on a collateralized basis and on the assumption that no one is too big to fail. The system has frozen with smaller players paying a high price.

This presentation aims at taking the fear out of the equation and showing how systemic banks could resume activity while managing concentration, counterparty and maturity risk on wholesale markets. We will advocate moving out of ‘risk avoidance’ and back into ‘risk management’. Dr. Galizia will also comment on SIFI exposure limits recently set by the Basel Committee.

For more information regarding venue, speaker and registration please use the following link:


October 13th - PRMIA Event on Operational Risk Management

PRMIA Munich is proud to invite you to a presentation by Dr. Ariane Chapelle on:

Recent developments in Operational Risk Management

During this talk we will cover the aspects of ORM for financial institutions gaining traction over the recent years as best market practice. These include: risk appetite, tolerance and risk limits; preventive key risk indicators, scenario identification and assessment, embedding risk culture.
The talk summarizes some of the highlights of the flagship PRMIA course  “Advanced Operational Risk Management”  delivered by Dr. Chapelle.
For more information regarding venue, speaker and registration please use the following link:


July 22nd - PRMIA Event on Energy and Risk

PRMIA Munich is proud to invite you to a presentation by Prof. Rüdiger Kiesel on:

Energy and Risk

During the talk various aspects of risk and uncertainty relating to energy and climate change will be illustrated. It will start with a general discussion of the concepts of risk and risk management. Using the valuation of power plants as an example the impact of model risk will be investigated and related to political risk. A discussion on the perception of risk related to climate change will conclude the talk.

For more information regarding venue, speaker and registration please use the following link:



Feb.25th - PRMIA Event on Liquidity Risk Management

PRMIA Munich is proud to invite you to our first chapter meeting in 2014 with a presentation by Dr. Carlo Acerbi on:

Liquidity Risk Management - New trends, challenges and instruments for the financial industry


New Thetaris Research in Open Journal of Statistics

High-Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options


Stefan Dirnstorfer, Andreas J. Grau, Rudi Zagst


The pricing of moving window Asian option with an early exercise feature is considered a challenging problem in option pricing. The computational challenge lies in the unknown optimal exercise strategy and in the high dimensionality required for approximating the early exercise boundary. We use sparse grid basis functions in the Least Squares Monte Carlo approach to solve this “curse of dimensionality” problem. The resulting algorithm provides a general and convergent method for pricing moving window Asian options. The sparse grid technique presented in this paper can be generalized to pricing other high-dimensional, early-exercisable derivatives.


Sparse Grid; Regression; Least-Squares Monte Carlo; Moving Window Asian Option


S. Dirnstorfer, A. Grau and R. Zagst, "High-Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options," Open Journal of Statistics, Vol. 3 No. 6, 2013, pp. 427-440. doi: 10.4236/ojs.2013.36051.