Introduction to Variance Swaps
The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader. Section 1 gives […]
The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader. Section 1 gives […]
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Volume 2018, Issue 94. 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. 2018, iss. 94, pp. […]
This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo. The clsMathParser is a class for math expression evaluation in Excel/VBA. We show that a […]
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The Libor Market Model of Brace Gatarek and Musiela (BGM) (1997) is the market standard model for pricing and hedging exotic interest rate derivatives. Its advantages include model parameters which are easy to interpret in […]
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The fundamental concepts that shape modern capital structuring theory were first put together by Modigliani and Miller [M&M] (1958) in a series of propositions. These propositions have, for many years, dominated the thought process by […]
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Winning has two parts: getting an edge and then betting well. The former simply means that investments have an advantage so $1 invested returns on average more than $1. The latter involves not overbetting, and […]
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