Wilmott Inner Circle
A Market Model Of Interest Rates With Dynamic Basis Spreads In The Presence Of Collateral And Multiple Currencies
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Articles
A Markovian Model of Default Interactions: Comments and Extensions
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Articles
Wilmott 100: Paul Wilmott Waxes Nostalgic
Wilmott Magazine reached the milestone of 100 issues with the publication of the March 2019 edition. What better time then to delve into the history of the magazine, the changes in quantitative finance over the […]
Articles
Wilmott 100: “Why’s it Square?”
Wilmott Magazine reaches 100 issues this month. Having realized the milestone might have some significance Paul Wilmott and Dan Tudball recently sat down with Randeep Gug of the CQF to delve into the history of […]
WILMOTT Magazine
Wilmott Magazine: March 2019 issue – 100th Issue!
Volume 2019, Issue 100. 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. 100, p. […]
Wilmott Inner Circle
Adjusting Volatility To Discrete Cash Dividends
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Articles
Software Frameworks in Quantitative Finance, Part I: Fundamental Principles and Applications to Monte Carlo Methods
We discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance. In particular, we examine the interplay between architecture, patterns and modern object-oriented and generic programming paradigms. […]
Wilmott Inner Circle
The Long and Short of Static Hedging With Frictions
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Articles
Teraflops for Games and Derivatives Pricing
Financial computing continuously demands higher computing performance, which can no longer be accomplished by simply increasing clock speed. Cluster and grid infrastructures grow, their cost of ownership explodes. Over the past twenty years, financial computing […]
Wilmott Inner Circle
Knock-in/out Margrabe
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