![DaimlerChrysler AG [CC BY-SA 3.0 (http://creativecommons.org/licenses/by-sa/3.0/)]](https://wilmott.com/wp-content/uploads/2019/01/Brooklands_1907-678x381.jpg)
In this article, we introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03]. We first apply […]
You don’t have permission to view the content
In ‘CCR KVA Relief through CVA: a Regression-based Monte Carlo Approach’, published in the January 2019 issue of Wilmott Magazine, Christoph M. Puetter, Stefano Renzitti, Allan Cowan present and examine, by example of a USD […]
Even if you started out clueless about the volatility σ , given a good enough measuring stick and fast enough hands you ought to be able to measure it quickly and accurately. In practice you […]
You don’t have permission to view the content
Methods capable of forecasting the entire yield curve based on a time series extension of the Nelson-Siegel model Nelson and Siegel (1987) were suggested in the literature and compared to the non-parametric alternatives Diebold and […]
You don’t have permission to view the content
On September 19, 2006 the hedge fund Amaranth Advisors of Greenwich, Connecticut announced that it had lost $6 billion, about two thirds of the $9.25 billion fund in less than two weeks, largely because it […]
You don’t have permission to view the content
Volume 2018, Issue 98. Pages 1–98 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. 2018, iss. 98, p. […]
© All material, including contents and design, copyright Wilmott Electronic Media Limited | Privacy | Contact us