Author Archives: Alluve

About Alluve

Alluve develops and markets software solutions for assessing risks on the portfolios of financial derivatives. Our product, Alluve MarketSimulator, uses Monte-Carlo simulation to calculate risk measures, such as value at risk (VaR) and exposure at default (EAD).

On the costs of mutual exclusion in C++

Disruptor [1] is a software component that implements lock-free message passing between different threads of control. Disruptor is open source; its way of operation and its advantages over traditional message passing are described in [2], [3] and [4]. The motivation … Continue reading


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Investing in movies

Fitting the distribution of ticket sales yields unexpected results The movie business is risky, but the returns can be high. Better yet, the movie industry performance is only loosely correlated to that of the rest of the economy, which makes it … Continue reading

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A crash course in CVA calculation

Recently I was asked by a student to give some guidance on using Monte Carlo method for CVA calculation. Here is what I came up with.

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Global Derivatives Trading & Risk Management 2012

In April I was lucky to get a place at the Global Derivatives conference. Here is the blog post about it that I wrote for the Global Risk community.  

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Software functionality is not copyrightable

Great news. The EU Court of Justice has ruled that one can’t copyright a computer program’s functionality. Further, they state: “The purchaser of a licence for a program is entitled, as a rule, to observe, study or test its functioning … Continue reading

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Why companies should not outsource IT support

Most big companies do not maintain their IT infrastructure by themselves. Instead, they outsource this job to another company, which usually calls itself a solution provider. A single solution provider can take care of IT resources of many different companies. … Continue reading

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“Risky” zero rate curve

Here is a small example of how one can calculate a risk-adjusted zero rate, given a risk-free zero rate and CDS premium. Risky zero rate calculation example.

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Software should not be patentable

Software patents never seemed to be a good idea. At last there is something to substantiate the claim that software should not be patentable. Here is a mathematical proof how US Patent 5,893,120 can be reduced to mathematical formulae, thus … Continue reading

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