Year: 2017

Paul's Blog

Jeremy Corbyn: My Part In His Ascent

6 July 2017 Paul Comments Off on Jeremy Corbyn: My Part In His Ascent
First, disclosure: I am rather right wing, from the school of “take some of my income in taxes but otherwise leave me alone, please.” And as a general rule I believe that the Conservatives are the […]
05

WILMOTT Magazine: May 2017 issue

25 May 2017 Editor Comments Off on WILMOTT Magazine: May 2017 issue
Volume 2017, Issue 89. 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: “Contents,” Wilmott, vol. 2017, iss. 89, p. […]
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Ed Thorp: How Did You Do It?

4 May 2017 Editor Comments Off on Ed Thorp: How Did You Do It?
By Nicholas G. Colon A few times in every generation a person comes along that makes a significant impact on the world.  Rare or lucky are those that can do this. And then there are […]
Articles

Volatility: Time and Black–Scholes–Merton

23 April 2017 Editor Comments Off on Volatility: Time and Black–Scholes–Merton
The formalism of Black–Scholes–Merton knows of no such thing as the past or the future. When it models the stochastic process of the underlying asset price as Brownian motion and symbolizes its volatility by σ, […]
Articles

Automatic Differentiation for the Greeks

16 April 2017 Editor Comments Off on Automatic Differentiation for the Greeks
The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option position, as well as tasks such as model calibration. Outside a […]
03

WILMOTT Magazine: March 2017 issue

12 April 2017 Editor Comments Off on WILMOTT Magazine: March 2017 issue
Volume 2017, Issue 88. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here.   In this issue: “Contents,” Wilmott, vol. 2017, iss. 88, p. […]
Articles

Product Risk Classification

9 April 2017 Editor Comments Off on Product Risk Classification
What is the PRC? The product risk classification (PRC) is a risk indicator that is based on quantitative models. It allows us to compare the financial risk of investment products of different kinds and asset […]