Articles
The Volatility Smile Problem: From Within
In the following, I will say what the smile problem is, and I am not sure everyone will follow me. This is how deeply and how long I’ve been thinking about the smile problem. I’ve […]
Articles by Editor
Wilmott Inner Circle
Quant Insights 2019 Discounted Priority tickets for Wilmott Inner Circle Members
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WILMOTT Magazine
Wilmott Magazine: July 2019 issue
Volume 2019, Issue 102. Pages 1–84 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. 102, p. […]
Articles
Close Encounters Of The Third Order
The 1977 science fiction movie Close Encounters of the Third Kind was written and directed by Steven Spielberg. The title is derived from the classification by Hynek for close encounters with aliens, in which the […]
Wilmott Inner Circle
Arbitrage-free CMS Valuation – Watch out for the Correlations
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Articles
Volatility Voodoo
How do I love thee? Let me count the ways. I love thee to the depth and breadth and height My soul can reach, when feeling out of sight. . . I love thee with […]
Wilmott Inner Circle
Option Pricing with Radial Basis Functions: A Tutorial
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Articles
Gambler’s Ruin
The term “gambler’s ruin” is used for a number of statistical ideas whose common denominator is predicting the eventual outcome of a series of repeated bets. There are some beautiful and counterintuitive results in which […]
Wilmott Inner Circle
Analytical Techniques for Synthetic CDOs and Credit Default Risk Measures in Static Factor Models
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Articles
What Will History Make of Brexit?
Asked what was the most difficult thing about his job, British Prime Minister Harold Macmillan is reputed to have replied: “Events, dear boy, events.” Brexit may be one such event. The only known fact is […]