Articles
Amaranthus Extermino
On September 19, 2006 the hedge fund Amaranth Advisors of Greenwich, Connecticut announced that it had lost $6 billion, about two thirds of the $9.25 billion fund in less than two weeks, largely because it […]
Articles by Editor
Wilmott Inner Circle
Stochastic Processes in Finance – Part I
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Articles
Order Statistics for Value at Risk Estimation and Option Pricing
We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution […]
Wilmott Inner Circle
Option Pricing and the Dirichlet Problem
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Articles
Poker as a Lottery
Doyle Brunson , two-time winner of the World Series of Poker main event, has likened a poker tournament to a lottery in which more skilled players (like himself) hold more tickets than less skilled players […]
Wilmott Inner Circle
Bridge with Buffett
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Articles
Building Your Wings on the Way Down
Ray Bradbury famously defined “living at risk” as jumping off a cliff and building your wings on the way down. Too many financial risk managers who came late to the field think of risk as […]
Wilmott Inner Circle
Derivatives Pricing and Trading in Incomplete Markets: A Tutorial on Concepts
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Articles
Internal LGD Estimation in Practice
Driven by a competitive market and motivated by the new Basel Capital Accord (Basel II), banks have put a lot of effort into development and improvement of their methods to assess the creditworthiness of their […]
Wilmott Inner Circle
The Irony in the Variance Swaps
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