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. […]
We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution […]
You don’t have permission to view the content
Doyle Brunson , two-time winner of the World Series of Poker main event, has likened a poker tournament to a lottery in which more skilled players (like himself) hold more tickets than less skilled players […]
You don’t have permission to view the content
I saw a news story recently saying something like there are more germs on your iPhone than on a toilet seat. From which we conclude what? We are told to conclude that this is really […]
© All material, including contents and design, copyright Wilmott Electronic Media Limited | Privacy | Contact us