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. […]
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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. […]
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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 […]
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In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black–Scholes, local volatility, uncertain volatility). We first give an introduction to ADE. We discuss […]
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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 […]
Volume 2019, Issue 99. Pages 1–72 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. 99, p. […]
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