Year: 2018

Articles

Introduction to Variance Swaps

16 April 2018 Editor Comments Off on Introduction to Variance Swaps
The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader. Section 1 gives […]
Wilmott Inner Circle

Inconceivable!

11 April 2018 Editor Comments Off on Inconceivable!
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 […]
03

WILMOTT Magazine: March 2018 issue

8 April 2018 Editor Comments Off on WILMOTT Magazine: March 2018 issue
Volume 2018, Issue 94. Pages 1–60 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. 94, pp. […]
Articles

Monte Carlo in Esperanto

2 April 2018 Editor Comments Off on Monte Carlo in Esperanto
This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo. The clsMathParser is a class for math expression evaluation in Excel/VBA. We show that a […]
Wilmott Inner Circle

A Prospect-Theory Approach To The Kelly Criterion For Fat-Tail Portfolios: The Case of Student’s t-Distribution

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

Unstable Credit Correlations

14 March 2018 Editor Comments Off on Unstable Credit Correlations
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 […]
Wilmott Inner Circle

What I Knew And When I Knew It: Part I

28 February 2018 Editor Comments Off on What I Knew And When I Knew It: Part I
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 […]