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 […]
Month: November 2018
Wilmott Inner Circle
Stochastic Processes in Finance – Part I
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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. […]
Articles
Order Statistics for Value at Risk Estimation and Option Pricing
We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution […]
Wilmott Inner Circle
Option Pricing and the Dirichlet Problem
You’ve just tried to access content that is only available to WILMOTT INNER CIRCLE members! Membership of WIC is a simple, free, upgrade to ordinary membership of wilmott.com. All we need is a bit more personal […]