### 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 […]

### 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. […]

### 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 […]

### Option Pricing and the Dirichlet Problem

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