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 […]
Month: December 2018
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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