Articles

Rootless Vol

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 […]

Wilmott Inner Circle

The Irony In The Derivatives Discounting

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Articles

Forecasting the Yield Curve with S-Plus

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 […]

Wilmott Inner Circle

Berkshire Hathaway

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Articles

Amaranthus Extermino

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 […]

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Stochastic Processes in Finance – Part I

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WILMOTT Magazine

Wilmott Magazine: November 2018 issue

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. […]

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Option Pricing and the Dirichlet Problem

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Wilmott Inner Circle

Bridge with Buffett

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