Wilmott Inner Circle
Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas
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Articles
Primer On Arbitrage And Asset Pricing
Financial decision making is typically concerned with the amount of investment capital to allocate to various assets or asset classes in various financial markets. The opportunity set can be very complex, with sets of […]
Wilmott Inner Circle
Pricing Credit Derivatives with Uncertain Default Probabilities
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Articles
The Volatility Smile Problem: From Within
In the following, I will say what the smile problem is, and I am not sure everyone will follow me. This is how deeply and how long I’ve been thinking about the smile problem. I’ve […]
Wilmott Inner Circle
Quant Insights 2019 Discounted Priority tickets for Wilmott Inner Circle Members
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WILMOTT Magazine
Wilmott Magazine: July 2019 issue
Volume 2019, Issue 102. Pages 1–84 Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here. In this issue: Bibliography “Contents,” Wilmott, vol. 2019, iss. 102, p. […]
Articles
Close Encounters Of The Third Order
The 1977 science fiction movie Close Encounters of the Third Kind was written and directed by Steven Spielberg. The title is derived from the classification by Hynek for close encounters with aliens, in which the […]
Wilmott Inner Circle
Arbitrage-free CMS Valuation – Watch out for the Correlations
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Articles
Volatility Voodoo
How do I love thee? Let me count the ways. I love thee to the depth and breadth and height My soul can reach, when feeling out of sight. . . I love thee with […]
Wilmott Inner Circle
Option Pricing with Radial Basis Functions: A Tutorial
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