Year: 2018

Wilmott Inner Circle

Sequential Modeling of Dependent Jump Processes

20 June 2018 Editor Comments Off on Sequential Modeling of Dependent Jump Processes
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Articles

Calibration problems – An inverse problems view

11 June 2018 Editor Comments Off on Calibration problems – An inverse problems view
When pricing structured or derivative financial instruments, the typical steps a quant has to do are the following: 1. Choose a model for the movement of the underlying(s) 2. Identify (“calibrate”) the model parameters from […]
Wilmott Inner Circle

The End of Growth?

6 June 2018 Editor Comments Off on The End of Growth?
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05

WILMOTT Magazine: May 2018 issue

5 June 2018 Editor Comments Off on WILMOTT Magazine: May 2018 issue
Volume 2018, Issue 95. Pages 1–72 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. 95, pp. […]
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Practical Valuation of Power Derivatives

28 May 2018 Editor Comments Off on Practical Valuation of Power Derivatives
In this paper I look at the practical valuation of power derivatives from a trader’s perspective. Most people that have written about valuation of power derivatives are academics or quants working in the research departments […]
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What is Implied by Implied Volatility?

14 May 2018 Editor Comments Off on What is Implied by Implied Volatility?
Word and concept Implied volatility is not just a word or a concept. As a word, what is implied by implied volatility – what “implied volatility” means – is the value of the Brownian diffusion […]
Wilmott Inner Circle

Sensible Sensitivities for the SABR Model

9 May 2018 Editor Comments Off on Sensible Sensitivities for the SABR Model
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Big Time Series Analysis with JuliaDB

25 April 2018 Editor Comments Off on Big Time Series Analysis with JuliaDB
The next generation of data analysis requires the next generation of tools. The most popular opensource packages for data analysis (Python’s pandas and various R packages) are designed to work with small files of basic […]