Articles
A Markovian Model of Default Interactions: Comments and Extensions
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Articles
Wilmott 100: Paul Wilmott Waxes Nostalgic
Wilmott Magazine reached the milestone of 100 issues with the publication of the March 2019 edition. What better time then to delve into the history of the magazine, the changes in quantitative finance over the […]
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Wilmott 100: “Why’s it Square?”
Wilmott Magazine reaches 100 issues this month. Having realized the milestone might have some significance Paul Wilmott and Dan Tudball recently sat down with Randeep Gug of the CQF to delve into the history of […]
Articles
Software Frameworks in Quantitative Finance, Part I: Fundamental Principles and Applications to Monte Carlo Methods
We discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance. In particular, we examine the interplay between architecture, patterns and modern object-oriented and generic programming paradigms. […]
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Teraflops for Games and Derivatives Pricing
Financial computing continuously demands higher computing performance, which can no longer be accomplished by simply increasing clock speed. Cluster and grid infrastructures grow, their cost of ownership explodes. Over the past twenty years, financial computing […]
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The Alternating Direction Explicit (ADE) Method for One-Factor Problems
In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black–Scholes, local volatility, uncertain volatility). We first give an introduction to ADE. We discuss […]
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An Asymptotic FX Option Formula in the Cross Currency Libor Market Model
In this article, we introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03]. We first apply […]
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Rootless Vol
Even if you started out clueless about the volatility σ , given a good enough measuring stick and fast enough hands you ought to be able to measure it quickly and accurately. In practice you […]
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Forecasting the Yield Curve with S-Plus
Methods capable of forecasting the entire yield curve based on a time series extension of the Nelson-Siegel model Nelson and Siegel (1987) were suggested in the literature and compared to the non-parametric alternatives Diebold and […]
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 […]