Articles
In Code We Trust
You’re at a fund that doesn’t want to burn headcount hiring their own data, storage, and sysadmin team, and you’re not alone. Financial institutions of all sizes realize that it is expensive to meet the […]
Month: September 2019
Articles
AAD: Breaking the Primal Barrier
In this article we present a new approach for automatic adjoint differentiation (AAD) with a special focus on computations where derivatives ∂F(X)/∂X are required for multiple instances of vectors X. In practice, the presented approach […]
Wilmott Inner Circle
Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas
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 […]
Articles
Primer On Arbitrage And Asset Pricing
Financial decision making is typically concerned with the amount of investment capital to allocate to various assets or asset classes in various financial markets. The opportunity set can be very complex, with sets of […]