Wilmott Inner Circle
Arbitrage-free CMS Valuation – Watch out for the Correlations
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Articles by Editor
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 […]
Wilmott Inner Circle
The Chemistry of Contagious Defaults
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WILMOTT Magazine
Wilmott Magazine: May 2019 issue
Volume 2019, Issue 101. Pages 1–72 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. 101, p. […]
Wilmott Inner Circle
The Valuation of Callable Bonds with Floored CMS-spread Coupons
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Articles
Statistiks
The English word is taken from the German statistik, which was invented by Gottfried Aschenwall and used in his 1748 work Vorbereitung zur Staatswissenschaft. Aschenwall’s statistiks had nothing to do with either numbers or probability. […]