Wilmott Inner Circle

You Can’t Always Get What You Want – Estimating the Value at Risk from Historical Data with Limited Statistics – Björn Naundorf, Jörg Raufeisen, Christoph Bennemann & Frederik Herzberg

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Wilmott Inner Circle

Approximation of Continuous Monitoring with Discrete Monitoring Applied to Down-And-Out Options: Wilmott Magazine Article – Stefan Ebenfeld & Damaris Hilzinger

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Wilmott Inner Circle

Do Not Forget the Economy when Estimating Default Probabilities: Wilmott Magazine Article – Bernd Engelmann & Daniel Porath

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News

Benoit Mandelbrot 1924-2010 – Wilmott Team

Benoit Mandelbrot, the mathematician, the father of fractal mathematics, and advocate of more sophisticated modelling in quantitative finance, died on 14th October 2010 aged 85. Wilmott magazine has often featured Mandelbrot, his ideas, and the […]