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Month: March 2018

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A Prospect-Theory Approach To The Kelly Criterion For Fat-Tail Portfolios: The Case of Student’s t-Distribution

28th March 2018 Editor Comments Off on A Prospect-Theory Approach To The Kelly Criterion For Fat-Tail Portfolios: The Case of Student’s t-Distribution

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Articles

Numerical Methods for the Markov Functional Model

19th March 2018 Editor Comments Off on Numerical Methods for the Markov Functional Model

The Libor Market Model of Brace Gatarek and Musiela (BGM) (1997) is the market standard model for pricing and hedging exotic interest rate derivatives. Its advantages include model parameters which are easy to interpret in […]

Wilmott Inner Circle

Unstable Credit Correlations

14th March 2018 Editor Comments Off on Unstable Credit Correlations

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Articles

A Generalised Procedure for Locating the Optimal Capital Structure

5th March 2018 Editor Comments Off on A Generalised Procedure for Locating the Optimal Capital Structure

The fundamental concepts that shape modern capital structuring theory were first put together by Modigliani and Miller [M&M] (1958) in a series of propositions. These propositions have, for many years, dominated the thought process by […]

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Wilmott 100: Paul Wilmott Waxes Nostalgic

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3rd April 2019 Comments Off on 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 […]

Wilmott 100: “Why’s it Square?”

Articles
27th March 2019 Comments Off on 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 […]

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Gunter Meissner on the GameStop Saga

2nd February 2021 Comments Off on Gunter Meissner on the GameStop Saga

GameStop. The most gamed stock in recent history, hence the title (really!) of Gunter Meissner’s extremely timely video on what the heck just happened.     In the video Gunter takes viewers through the fundamentals […]

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Neural Parametric Methods: Models Off the Bias

9th September 2020 Comments Off on Neural Parametric Methods: Models Off the Bias

Thijs van den Berg, a consultant and author on machine learning in quantitative finance will present a talk on neural parametric models, novel modeling methods in finance for the CQF Institute on 22nd September. Thijs […]

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Gatarek: Life, Libor (and Swap Rates Too!)

26th August 2020 Comments Off on Gatarek: Life, Libor (and Swap Rates Too!)

Dariusz Gatarek, co-author of the Libor Market Model with Alan Brace and Marek Musiela, has been busy of late – despite worrying that the vagaries of age might be catching up with him. He is […]

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Can Kool Aid Protect Against Covid-19?

The Armchair Epidemiologist

The Free Speech Union

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