Articles
The LIBOR Fix
Depending on context, the word “fix” can mean “set” or “determine,” “manipulate” or “rig,” as well as “repair” or “correct.” “In a fix” means to be in difficulty. In colloquial use, a “fix” is a […]
Articles by Editor
WILMOTT Magazine
Wilmott Magazine: November 2019 issue
Volume 2019, Issue 104. Pages 1–96 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. 2019, iss. 104, p. […]
Articles
Binary Backwards
Anybody who writes exams or performs job interviews knows the value of questions. If they are based on true stories or statements, even better. To my delight this showed up in my Twitter timeline: (Let […]
Wilmott Inner Circle
Which Free Lunch Would You Like Today, Sir?: Delta Hedging, Volatility Arbitrage and Optimal Portfolios
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WILMOTT Magazine
Wilmott Magazine: September 2019 issue
Volume 2019, Issue 103. 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. 2019, iss. 103, p. […]
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 […]
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
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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 […]
Wilmott Inner Circle
Pricing Credit Derivatives with Uncertain Default Probabilities
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