Wilmott Inner Circle
A Prospect-Theory Approach To The Kelly Criterion For Fat-Tail Portfolios: The Case of Student’s t-Distribution
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Month: March 2018
Articles
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
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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 […]